Finance

WRBY Move Probability $25.62 +0.00 (+0.0%)

Real historical back-data analysis: evaluates rolling trading-day windows to determine the probability of a stock touching or closing at your target move.

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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
16.3%
Stock touched +5.0% ($26.91) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
8.4%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
1.93x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±4.1%
$24.57 — $26.68

Historical 1-Day Return Distribution

Frequency of rolling 1-day percentage returns over 521 historical windows (2024-09-23 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-12.4% to -9.9%: 4 occurrences (0.8%) -11.2% -9.9% to -7.4%: 11 occurrences (2.1%) -7.4% to -4.9%: 27 occurrences (5.2%) -4.9% to -2.5%: 63 occurrences (12.1%) -3.7% -2.5% to +0.0%: 168 occurrences (32.2%) +0.0% to +2.5%: 138 occurrences (26.5%) +2.5% to +5.0%: 66 occurrences (12.7%) 3.8% +5.0% to +7.5%: 25 occurrences (4.8%) +7.5% to +10.0%: 8 occurrences (1.5%) +10.0% to +12.4%: 4 occurrences (0.8%) 11.2% +12.4% to +14.9%: 1 occurrences (0.2%) +14.9% to +17.4%: 2 occurrences (0.4%) +17.4% to +19.9%: 2 occurrences (0.4%) 18.7% +19.9% to +22.4%: 0 occurrences (0.0%) +22.4% to +24.9%: 1 occurrences (0.2%) +24.9% to +27.4%: 1 occurrences (0.2%) 26.1%
Historical returns Target move zone (+5.0%+) Target threshold bin

Probability Breakdown: Empirical vs. Theoretical Models

Comparing actual market back-data against Black-Scholes and Fat-Tail adjustments.

Model / Methodology Touch Probability Expiration Close Probability What It Tells You
Empirical Back-Data (Actual History) 16.3% 8.4% Model-free reality across 521 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 7.5% Adjusts normal bell curve for real-world skewness (0.9) and kurtosis (4.79).
Standard Normal (Black-Scholes / GBM) 23.8% 11.9% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 19.1% 10.6% Filters for historical windows that started with volatility similar to current 20-day HV (293 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 65.6%
  • Recent 20-Day HV: 78.6%
  • Parkinson Intraday Volatility: 55.2%
  • Vol Trend: Expanded (+20% vs baseline)

1-Day Return Quantiles

  • Median Return: -0.1%
  • Top 10% Move (90th percentile): +4.5%
  • Bottom 10% Move (10th percentile): -4.5%
  • Max Historical Gain (1d): +27.4%
  • Max Historical Loss (1d): -12.4%