Finance

ABT Move Probability $100.60 -2.11 (-2.1%)

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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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
33.1%
Stock touched +5.0% ($105.63) at least once during 14 trading days.
Median first touch: Day 7 of 14
Expiration Close Probability
15.4%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.15x
You are 2.1x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±5.8%
$94.78 — $106.42

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%.

-16.1% to -13.8%: 4 occurrences (0.8%) -14.9% -13.8% to -11.4%: 13 occurrences (2.6%) -11.4% to -9.1%: 13 occurrences (2.6%) -9.1% to -6.8%: 32 occurrences (6.3%) -7.9% -6.8% to -4.4%: 37 occurrences (7.3%) -4.4% to -2.1%: 61 occurrences (12.0%) -2.1% to +0.3%: 109 occurrences (21.5%) -0.9% +0.3% to +2.6%: 88 occurrences (17.3%) +2.6% to +4.9%: 70 occurrences (13.8%) +4.9% to +7.3%: 41 occurrences (8.1%) 6.1% +7.3% to +9.6%: 14 occurrences (2.8%) +9.6% to +11.9%: 9 occurrences (1.8%) +11.9% to +14.3%: 9 occurrences (1.8%) 13.1% +14.3% to +16.6%: 5 occurrences (1.0%) +16.6% to +19.0%: 2 occurrences (0.4%) +19.0% to +21.3%: 1 occurrences (0.2%) 20.1%
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) 33.1% 15.4% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 5.7% Adjusts normal bell curve for real-world skewness (-0.41) and kurtosis (9.52).
Standard Normal (Black-Scholes / GBM) 39.9% 19.9% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 29.0% 11.7% Filters for historical windows that started with volatility similar to current 20-day HV (359 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 24.5%
  • Recent 20-Day HV: 24.6%
  • Parkinson Intraday Volatility: 20.5%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: -0.0%
  • Top 10% Move (90th percentile): +6.4%
  • Bottom 10% Move (10th percentile): -7.5%
  • Max Historical Gain (14d): +21.3%
  • Max Historical Loss (14d): -16.1%