Finance

WSE Move Probability $12.21 +0.29 (+2.4%)

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)
14.3%
Stock touched +5.0% ($12.83) at least once during 3 trading days.
Median first touch: Day 2 of 3
Expiration Close Probability
7.6%
Stock closed at or beyond +5.0% at the end of the 3-day window.
The Touch Multiple
1.87x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±4.7%
$11.64 — $12.79

Historical 3-Day Return Distribution

Frequency of rolling 3-day percentage returns over 105 historical windows (2026-05-11 to 2026-10-13). The colored bar indicates the win zone for +5.0%.

-16.1% to -14.4%: 1 occurrences (1.0%) -15.2% -14.4% to -12.7%: 1 occurrences (1.0%) -12.7% to -11.0%: 0 occurrences (0.0%) -11.0% to -9.2%: 2 occurrences (1.9%) -10.1% -9.2% to -7.5%: 2 occurrences (1.9%) -7.5% to -5.8%: 4 occurrences (3.8%) -5.8% to -4.1%: 6 occurrences (5.7%) -5.0% -4.1% to -2.4%: 14 occurrences (13.3%) -2.4% to -0.7%: 18 occurrences (17.1%) -0.7% to +1.0%: 24 occurrences (22.9%) 0.2% +1.0% to +2.7%: 11 occurrences (10.5%) +2.7% to +4.5%: 12 occurrences (11.4%) +4.5% to +6.2%: 5 occurrences (4.8%) 5.3% +6.2% to +7.9%: 1 occurrences (1.0%) +7.9% to +9.6%: 1 occurrences (1.0%) +9.6% to +11.3%: 3 occurrences (2.9%) 10.5%
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) 14.3% 7.6% Model-free reality across 105 historical 3-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 12.1% Adjusts normal bell curve for real-world skewness (-0.12) and kurtosis (1.64).
Standard Normal (Black-Scholes / GBM) 30.2% 15.1% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 10.0% 0.0% Filters for historical windows that started with volatility similar to current 20-day HV (10 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 43.3%
  • Recent 20-Day HV: 20.3%
  • Parkinson Intraday Volatility: 26.9%
  • Vol Trend: Compressed (-53% vs baseline)

3-Day Return Quantiles

  • Median Return: -0.1%
  • Top 10% Move (90th percentile): +4.4%
  • Bottom 10% Move (10th percentile): -5.8%
  • Max Historical Gain (3d): +11.3%
  • Max Historical Loss (3d): -16.1%