Finance

AAL Move Probability $12.23 +0.12 (+0.9%)

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)
66.9%
Stock touched +5.0% ($12.84) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
39.8%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.68x
You are 1.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±12.1%
$10.75 — $13.71

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 508 historical windows (2024-09-23 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-31.1% to -27.0%: 5 occurrences (1.0%) -29.1% -27.0% to -22.9%: 2 occurrences (0.4%) -22.9% to -18.7%: 13 occurrences (2.6%) -18.7% to -14.6%: 27 occurrences (5.3%) -16.7% -14.6% to -10.5%: 46 occurrences (9.1%) -10.5% to -6.3%: 48 occurrences (9.4%) -6.3% to -2.2%: 62 occurrences (12.2%) -4.3% -2.2% to +1.9%: 56 occurrences (11.0%) +1.9% to +6.1%: 77 occurrences (15.2%) +6.1% to +10.2%: 61 occurrences (12.0%) 8.1% +10.2% to +14.3%: 51 occurrences (10.0%) +14.3% to +18.5%: 27 occurrences (5.3%) +18.5% to +22.6%: 22 occurrences (4.3%) 20.5% +22.6% to +26.7%: 4 occurrences (0.8%) +26.7% to +30.9%: 2 occurrences (0.4%) +30.9% to +35.0%: 5 occurrences (1.0%) 32.9%
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) 66.9% 39.8% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 24.0% Adjusts normal bell curve for real-world skewness (0.52) and kurtosis (5.13).
Standard Normal (Black-Scholes / GBM) 68.7% 34.3% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 64.4% 37.3% Filters for historical windows that started with volatility similar to current 20-day HV (292 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 51.3%
  • Recent 20-Day HV: 38.4%
  • Parkinson Intraday Volatility: 39.5%
  • Vol Trend: Compressed (-25% vs baseline)

14-Day Return Quantiles

  • Median Return: +1.7%
  • Top 10% Move (90th percentile): +15.4%
  • Bottom 10% Move (10th percentile): -14.1%
  • Max Historical Gain (14d): +35.0%
  • Max Historical Loss (14d): -31.1%