Price Distribution & Historical Movement Probability
Price Distribution charts the empirical distribution of daily, weekly, and longer-term percentage moves for any underlying. Instead of relying on the lognormal assumption baked into Black-Scholes, you see the actual fat tails, skew, and clustering of historical returns — information that matters more for short-dated options than implied volatility alone.
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Use the distribution to size strikes for cash-secured puts, gauge the realistic probability of touch for credit spreads, and check the expected move from ATM IV against what the underlying has actually done. Compare distributions across timeframes to see when the current regime differs from the longer history.
Frequently asked questions
How is the distribution calculated?
We bucket historical percentage returns over a rolling lookback window into a histogram and overlay key percentiles. The default lookback adapts to the timeframe selected; longer windows surface regime-level behavior, shorter windows highlight the current environment.
How does this differ from expected move?
Expected move is forward-looking and derived from implied volatility. Price distribution is backward-looking and shows what actually happened. Comparing the two reveals when options are over- or under-pricing realized risk.
Can I use this for non-equity tickers?
Yes — ETFs, indices, and futures all work. Distributions for low-liquidity names should be interpreted with care due to gappy historical data.
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- Theta Vantage MCP for Cursor, Claude, Codex, Grok, and other remote MCP clients
- Net Premium Drift
- IV Smile & Skew Analysis
- Wheel Strategy Screener, Strike Selector, Income Calculator
- All expirations, full heatmap history
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Start freeDisclaimer: All content is for educational and informational purposes only. This is not financial advice. Options trading involves significant risk. Please consult with a financial advisor before making trading decisions.