Finance

AASP Move Probability $5.20 -0.30 (-5.5%)

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)
64.5%
Stock touched +5.0% ($5.46) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
37.8%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.71x
You are 1.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±35.9%
$3.33 — $7.07

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 487 historical windows (2024-10-22 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-60.0% to -42.3%: 3 occurrences (0.6%) -51.2% -42.3% to -24.7%: 16 occurrences (3.3%) -24.7% to -7.0%: 120 occurrences (24.6%) -7.0% to +10.6%: 210 occurrences (43.1%) 1.8% +10.6% to +28.3%: 68 occurrences (14.0%) +28.3% to +46.0%: 26 occurrences (5.3%) +46.0% to +63.6%: 21 occurrences (4.3%) 54.8% +63.6% to +81.3%: 17 occurrences (3.5%) +81.3% to +99.0%: 1 occurrences (0.2%) +99.0% to +116.6%: 4 occurrences (0.8%) 107.8% +116.6% to +134.3%: 0 occurrences (0.0%) +134.3% to +151.9%: 0 occurrences (0.0%) +151.9% to +169.6%: 0 occurrences (0.0%) 160.8% +169.6% to +187.3%: 0 occurrences (0.0%) +187.3% to +204.9%: 0 occurrences (0.0%) +204.9% to +222.6%: 1 occurrences (0.2%) 213.7%
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) 64.5% 37.8% Model-free reality across 487 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 30.6% Adjusts normal bell curve for real-world skewness (0.86) and kurtosis (14.54).
Standard Normal (Black-Scholes / GBM) 89.2% 44.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 59.9% 27.8% Filters for historical windows that started with volatility similar to current 20-day HV (187 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 152.4%
  • Recent 20-Day HV: 94.9%
  • Parkinson Intraday Volatility: 106.3%
  • Vol Trend: Compressed (-38% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.0%
  • Top 10% Move (90th percentile): +41.0%
  • Bottom 10% Move (10th percentile): -15.4%
  • Max Historical Gain (14d): +222.6%
  • Max Historical Loss (14d): -60.0%