Finance

ABBV Move Probability $284.66 -4.31 (-1.5%)

Real historical back-data analysis: evaluates rolling trading-day windows to determine the probability of a stock touching or closing at your target move.

← Back to ABBV Options chain →
Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
50.2%
Stock touched +5.0% ($298.89) at least once during 14 trading days.
Median first touch: Day 7 of 14
Expiration Close Probability
26.2%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.92x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±6.4%
$266.40 — $302.92

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%.

-18.0% to -15.9%: 6 occurrences (1.2%) -16.9% -15.9% to -13.7%: 5 occurrences (1.0%) -13.7% to -11.6%: 10 occurrences (2.0%) -11.6% to -9.4%: 8 occurrences (1.6%) -10.5% -9.4% to -7.3%: 7 occurrences (1.4%) -7.3% to -5.2%: 22 occurrences (4.3%) -5.2% to -3.0%: 51 occurrences (10.0%) -4.1% -3.0% to -0.9%: 60 occurrences (11.8%) -0.9% to +1.3%: 62 occurrences (12.2%) +1.3% to +3.4%: 75 occurrences (14.8%) 2.3% +3.4% to +5.6%: 92 occurrences (18.1%) +5.6% to +7.7%: 45 occurrences (8.9%) +7.7% to +9.8%: 32 occurrences (6.3%) 8.8% +9.8% to +12.0%: 20 occurrences (3.9%) +12.0% to +14.1%: 8 occurrences (1.6%) +14.1% to +16.3%: 5 occurrences (1.0%) 15.2%
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) 50.2% 26.2% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 10.3% Adjusts normal bell curve for real-world skewness (-1.03) and kurtosis (8.63).
Standard Normal (Black-Scholes / GBM) 44.7% 22.3% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 51.4% 28.1% Filters for historical windows that started with volatility similar to current 20-day HV (360 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 27.2%
  • Recent 20-Day HV: 22.0%
  • Parkinson Intraday Volatility: 22.7%
  • Vol Trend: Compressed (-19% vs baseline)

14-Day Return Quantiles

  • Median Return: +1.9%
  • Top 10% Move (90th percentile): +8.2%
  • Bottom 10% Move (10th percentile): -5.5%
  • Max Historical Gain (14d): +16.3%
  • Max Historical Loss (14d): -18.0%