Finance

WYNN Move Probability $75.75 -1.72 (-2.2%)

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)
5.2%
Stock touched +5.0% ($79.54) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
2.5%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
2.08x
You are 2.1x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±2.4%
$73.95 — $77.55

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%.

-10.7% to -9.1%: 2 occurrences (0.4%) -9.9% -9.1% to -7.5%: 0 occurrences (0.0%) -7.5% to -5.9%: 4 occurrences (0.8%) -5.9% to -4.3%: 6 occurrences (1.2%) -5.1% -4.3% to -2.8%: 32 occurrences (6.1%) -2.8% to -1.2%: 98 occurrences (18.8%) -1.2% to +0.4%: 178 occurrences (34.2%) -0.4% +0.4% to +2.0%: 119 occurrences (22.8%) +2.0% to +3.6%: 57 occurrences (10.9%) +3.6% to +5.2%: 13 occurrences (2.5%) 4.4% +5.2% to +6.8%: 5 occurrences (1.0%) +6.8% to +8.4%: 3 occurrences (0.6%) +8.4% to +10.0%: 2 occurrences (0.4%) 9.2% +10.0% to +11.6%: 1 occurrences (0.2%) +11.6% to +13.2%: 0 occurrences (0.0%) +13.2% to +14.7%: 1 occurrences (0.2%) 14.0%
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) 5.2% 2.5% Model-free reality across 521 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 8.0% Adjusts normal bell curve for real-world skewness (0.43) and kurtosis (4.4).
Standard Normal (Black-Scholes / GBM) 4.0% 2.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 5.1% 2.1% Filters for historical windows that started with volatility similar to current 20-day HV (374 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 37.7%
  • Recent 20-Day HV: 31.0%
  • Parkinson Intraday Volatility: 28.9%
  • Vol Trend: Compressed (-18% vs baseline)

1-Day Return Quantiles

  • Median Return: -0.1%
  • Top 10% Move (90th percentile): +2.7%
  • Bottom 10% Move (10th percentile): -2.6%
  • Max Historical Gain (1d): +14.7%
  • Max Historical Loss (1d): -10.7%