Finance

AAP Move Probability $44.50 +0.34 (+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)
71.1%
Stock touched +5.0% ($46.73) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
31.9%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.23x
You are 2.2x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±15.3%
$37.69 — $51.31

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%.

-30.7% to -24.5%: 9 occurrences (1.8%) -27.6% -24.5% to -18.3%: 24 occurrences (4.7%) -18.3% to -12.2%: 41 occurrences (8.1%) -12.2% to -6.0%: 72 occurrences (14.2%) -9.1% -6.0% to +0.2%: 99 occurrences (19.5%) +0.2% to +6.4%: 124 occurrences (24.4%) +6.4% to +12.6%: 69 occurrences (13.6%) 9.5% +12.6% to +18.8%: 28 occurrences (5.5%) +18.8% to +25.0%: 16 occurrences (3.1%) +25.0% to +31.1%: 5 occurrences (1.0%) 28.1% +31.1% to +37.3%: 7 occurrences (1.4%) +37.3% to +43.5%: 0 occurrences (0.0%) +43.5% to +49.7%: 2 occurrences (0.4%) 46.6% +49.7% to +55.9%: 7 occurrences (1.4%) +55.9% to +62.1%: 3 occurrences (0.6%) +62.1% to +68.3%: 2 occurrences (0.4%) 65.2%
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) 71.1% 31.9% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 4.4% Adjusts normal bell curve for real-world skewness (1.77) and kurtosis (32.72).
Standard Normal (Black-Scholes / GBM) 75.0% 37.5% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 60.8% 36.1% Filters for historical windows that started with volatility similar to current 20-day HV (158 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 64.9%
  • Recent 20-Day HV: 35.2%
  • Parkinson Intraday Volatility: 45.0%
  • Vol Trend: Compressed (-46% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.4%
  • Top 10% Move (90th percentile): +15.8%
  • Bottom 10% Move (10th percentile): -14.4%
  • Max Historical Gain (14d): +68.3%
  • Max Historical Loss (14d): -30.7%