Finance

ABCP Move Probability $0.16 -0.05 (-23.1%)

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)
55.2%
Stock touched +5.0% ($0.17) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
22.2%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.49x
You are 2.5x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±19.7%
$0.13 — $0.19

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%.

-43.5% to -37.1%: 3 occurrences (0.6%) -40.3% -37.1% to -30.7%: 4 occurrences (0.8%) -30.7% to -24.4%: 7 occurrences (1.4%) -24.4% to -18.0%: 11 occurrences (2.3%) -21.2% -18.0% to -11.6%: 29 occurrences (6.0%) -11.6% to -5.2%: 97 occurrences (19.9%) -5.2% to +1.2%: 160 occurrences (32.9%) -2.0% +1.2% to +7.6%: 88 occurrences (18.1%) +7.6% to +13.9%: 37 occurrences (7.6%) +13.9% to +20.3%: 20 occurrences (4.1%) 17.1% +20.3% to +26.7%: 8 occurrences (1.6%) +26.7% to +33.1%: 7 occurrences (1.4%) +33.1% to +39.5%: 8 occurrences (1.6%) 36.3% +39.5% to +45.9%: 4 occurrences (0.8%) +45.9% to +52.2%: 2 occurrences (0.4%) +52.2% to +58.6%: 2 occurrences (0.4%) 55.4%
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) 55.2% 22.2% Model-free reality across 487 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 31.6% Adjusts normal bell curve for real-world skewness (-0.65) and kurtosis (11.46).
Standard Normal (Black-Scholes / GBM) 80.5% 40.2% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 89.7% 53.8% Filters for historical windows that started with volatility similar to current 20-day HV (39 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 83.7%
  • Recent 20-Day HV: 176.0%
  • Parkinson Intraday Volatility: 61.7%
  • Vol Trend: Expanded (+110% vs baseline)

14-Day Return Quantiles

  • Median Return: -2.0%
  • Top 10% Move (90th percentile): +14.0%
  • Bottom 10% Move (10th percentile): -12.0%
  • Max Historical Gain (14d): +58.6%
  • Max Historical Loss (14d): -43.5%