Finance

ABSI Move Probability $10.04 +0.97 (+10.7%)

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 ABSI Options chain →
Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
83.5%
Stock touched +5.0% ($10.55) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
42.7%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.95x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±23.3%
$7.71 — $12.38

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%.

-47.1% to -38.7%: 6 occurrences (1.2%) -42.9% -38.7% to -30.2%: 22 occurrences (4.3%) -30.2% to -21.8%: 30 occurrences (5.9%) -21.8% to -13.4%: 46 occurrences (9.1%) -17.6% -13.4% to -4.9%: 90 occurrences (17.7%) -4.9% to +3.5%: 82 occurrences (16.1%) +3.5% to +12.0%: 71 occurrences (14.0%) 7.8% +12.0% to +20.4%: 43 occurrences (8.5%) +20.4% to +28.9%: 27 occurrences (5.3%) +28.9% to +37.3%: 28 occurrences (5.5%) 33.1% +37.3% to +45.8%: 20 occurrences (3.9%) +45.8% to +54.2%: 12 occurrences (2.4%) +54.2% to +62.6%: 14 occurrences (2.8%) 58.4% +62.6% to +71.1%: 9 occurrences (1.8%) +71.1% to +79.5%: 6 occurrences (1.2%) +79.5% to +88.0%: 2 occurrences (0.4%) 83.7%
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) 83.5% 42.7% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 35.5% Adjusts normal bell curve for real-world skewness (0.58) and kurtosis (3.06).
Standard Normal (Black-Scholes / GBM) 83.4% 41.7% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 81.7% 43.6% Filters for historical windows that started with volatility similar to current 20-day HV (383 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 98.8%
  • Recent 20-Day HV: 109.4%
  • Parkinson Intraday Volatility: 81.9%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: +0.9%
  • Top 10% Move (90th percentile): +40.5%
  • Bottom 10% Move (10th percentile): -23.9%
  • Max Historical Gain (14d): +88.0%
  • Max Historical Loss (14d): -47.1%