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)
13.2%
Stock touched +5.0% ($46.73) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
8.1%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
1.64x
You are 1.6x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±4.1%
$42.68 — $46.32

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%.

-24.5% to -19.4%: 1 occurrences (0.2%) -21.9% -19.4% to -14.3%: 1 occurrences (0.2%) -14.3% to -9.1%: 2 occurrences (0.4%) -9.1% to -4.0%: 39 occurrences (7.5%) -6.6% -4.0% to +1.1%: 298 occurrences (57.2%) +1.1% to +6.2%: 157 occurrences (30.1%) +6.2% to +11.3%: 21 occurrences (4.0%) 8.7% +11.3% to +16.4%: 1 occurrences (0.2%) +16.4% to +21.5%: 0 occurrences (0.0%) +21.5% to +26.6%: 0 occurrences (0.0%) 24.1% +26.6% to +31.7%: 0 occurrences (0.0%) +31.7% to +36.8%: 0 occurrences (0.0%) +36.8% to +41.9%: 0 occurrences (0.0%) 39.4% +41.9% to +47.1%: 0 occurrences (0.0%) +47.1% to +52.2%: 0 occurrences (0.0%) +52.2% to +57.3%: 1 occurrences (0.2%) 54.7%
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) 13.2% 8.1% Model-free reality across 521 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 0.0% Adjusts normal bell curve for real-world skewness (1.77) and kurtosis (32.72).
Standard Normal (Black-Scholes / GBM) 23.3% 11.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 11.1% 7.0% Filters for historical windows that started with volatility similar to current 20-day HV (171 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)

1-Day Return Quantiles

  • Median Return: -0.1%
  • Top 10% Move (90th percentile): +4.4%
  • Bottom 10% Move (10th percentile): -3.6%
  • Max Historical Gain (1d): +57.3%
  • Max Historical Loss (1d): -24.5%