Finance

AATC Move Probability $3.65 -0.15 (-3.9%)

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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Touch Probability (First Passage)
12.7%
Stock touched +5.0% ($3.83) at least once during 14 trading days.
Median first touch: Day 8 of 14
Expiration Close Probability
12.7%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.00x
You are 1.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±11.7%
$3.22 — $4.08

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 110 historical windows (2024-09-23 to 2025-03-21). The colored bar indicates the win zone for +5.0%.

+0.0% to +2.5%: 68 occurrences (61.8%) 1.3% +2.5% to +5.1%: 28 occurrences (25.5%) +5.1% to +7.6%: 0 occurrences (0.0%) +7.6% to +10.2%: 0 occurrences (0.0%) 8.9% +10.2% to +12.7%: 0 occurrences (0.0%) +12.7% to +15.3%: 0 occurrences (0.0%) +15.3% to +17.8%: 0 occurrences (0.0%) 16.5% +17.8% to +20.3%: 0 occurrences (0.0%) +20.3% to +22.9%: 0 occurrences (0.0%) +22.9% to +25.4%: 0 occurrences (0.0%) 24.2% +25.4% to +28.0%: 0 occurrences (0.0%) +28.0% to +30.5%: 0 occurrences (0.0%) +30.5% to +33.1%: 0 occurrences (0.0%) 31.8% +33.1% to +35.6%: 0 occurrences (0.0%) +35.6% to +38.1%: 0 occurrences (0.0%) +38.1% to +40.7%: 14 occurrences (12.7%) 39.4%
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) 12.7% 12.7% Model-free reality across 110 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 8.0% Adjusts normal bell curve for real-world skewness (10.37) and kurtosis (109.14).
Standard Normal (Black-Scholes / GBM) 67.6% 33.8% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 31.1% 31.1% Filters for historical windows that started with volatility similar to current 20-day HV (45 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 49.5%
  • Recent 20-Day HV: 0.0%
  • Parkinson Intraday Volatility: 0.0%
  • Vol Trend: Compressed (-100% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.0%
  • Top 10% Move (90th percentile): +40.7%
  • Bottom 10% Move (10th percentile): +0.0%
  • Max Historical Gain (14d): +40.7%
  • Max Historical Loss (14d): 0.0%