Finance

AAOI Move Probability $77.35 +0.65 (+0.8%)

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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Touch Probability (First Passage)
43.2%
Stock touched +5.0% ($81.22) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
24.8%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
1.74x
You are 1.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±8.4%
$70.89 — $83.81

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%.

-21.6% to -16.6%: 5 occurrences (1.0%) -19.1% -16.6% to -11.7%: 23 occurrences (4.4%) -11.7% to -6.8%: 56 occurrences (10.7%) -6.8% to -1.9%: 118 occurrences (22.6%) -4.4% -1.9% to +3.0%: 147 occurrences (28.2%) +3.0% to +7.9%: 86 occurrences (16.5%) +7.9% to +12.8%: 48 occurrences (9.2%) 10.3% +12.8% to +17.7%: 20 occurrences (3.8%) +17.7% to +22.6%: 11 occurrences (2.1%) +22.6% to +27.5%: 3 occurrences (0.6%) 25.1% +27.5% to +32.4%: 1 occurrences (0.2%) +32.4% to +37.3%: 0 occurrences (0.0%) +37.3% to +42.2%: 1 occurrences (0.2%) 39.8% +42.2% to +47.2%: 0 occurrences (0.0%) +47.2% to +52.1%: 0 occurrences (0.0%) +52.1% to +57.0%: 2 occurrences (0.4%) 54.5%
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) 43.2% 24.8% Model-free reality across 521 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 20.5% Adjusts normal bell curve for real-world skewness (0.7) and kurtosis (3.04).
Standard Normal (Black-Scholes / GBM) 55.9% 28.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 43.9% 24.6% Filters for historical windows that started with volatility similar to current 20-day HV (305 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 132.6%
  • Recent 20-Day HV: 104.4%
  • Parkinson Intraday Volatility: 104.5%
  • Vol Trend: Compressed (-21% vs baseline)

1-Day Return Quantiles

  • Median Return: -0.3%
  • Top 10% Move (90th percentile): +10.4%
  • Bottom 10% Move (10th percentile): -8.9%
  • Max Historical Gain (1d): +57.0%
  • Max Historical Loss (1d): -21.6%