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)
1.2%
Stock touched +5.0% ($298.89) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
0.6%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
2.00x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±1.7%
$279.78 — $289.54

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%.

-12.6% to -11.4%: 1 occurrences (0.2%) -12.0% -11.4% to -10.2%: 0 occurrences (0.0%) -10.2% to -9.0%: 0 occurrences (0.0%) -9.0% to -7.8%: 0 occurrences (0.0%) -8.4% -7.8% to -6.7%: 1 occurrences (0.2%) -6.7% to -5.5%: 2 occurrences (0.4%) -5.5% to -4.3%: 3 occurrences (0.6%) -4.9% -4.3% to -3.1%: 5 occurrences (1.0%) -3.1% to -1.9%: 27 occurrences (5.2%) -1.9% to -0.7%: 87 occurrences (16.7%) -1.3% -0.7% to +0.4%: 193 occurrences (37.0%) +0.4% to +1.6%: 126 occurrences (24.2%) +1.6% to +2.8%: 48 occurrences (9.2%) 2.2% +2.8% to +4.0%: 20 occurrences (3.8%) +4.0% to +5.2%: 5 occurrences (1.0%) +5.2% to +6.4%: 3 occurrences (0.6%) 5.8%
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) 1.2% 0.6% Model-free reality across 521 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 59.1% Adjusts normal bell curve for real-world skewness (-1.03) and kurtosis (8.63).
Standard Normal (Black-Scholes / GBM) 0.4% 0.2% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 1.4% 0.5% Filters for historical windows that started with volatility similar to current 20-day HV (368 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)

1-Day Return Quantiles

  • Median Return: +0.0%
  • Top 10% Move (90th percentile): +2.0%
  • Bottom 10% Move (10th percentile): -1.6%
  • Max Historical Gain (1d): +6.4%
  • Max Historical Loss (1d): -12.6%