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)
0.8%
Stock touched +5.0% ($105.63) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
0.2%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
4.00x
You are 4.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±1.5%
$99.05 — $102.15

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%.

-10.0% to -8.7%: 1 occurrences (0.2%) -9.3% -8.7% to -7.4%: 1 occurrences (0.2%) -7.4% to -6.1%: 0 occurrences (0.0%) -6.1% to -4.8%: 2 occurrences (0.4%) -5.5% -4.8% to -3.5%: 0 occurrences (0.0%) -3.5% to -2.2%: 17 occurrences (3.3%) -2.2% to -0.9%: 86 occurrences (16.5%) -1.6% -0.9% to +0.4%: 217 occurrences (41.7%) +0.4% to +1.6%: 151 occurrences (29.0%) +1.6% to +2.9%: 31 occurrences (6.0%) 2.3% +2.9% to +4.2%: 11 occurrences (2.1%) +4.2% to +5.5%: 3 occurrences (0.6%) +5.5% to +6.8%: 0 occurrences (0.0%) 6.2% +6.8% to +8.1%: 0 occurrences (0.0%) +8.1% to +9.4%: 0 occurrences (0.0%) +9.4% to +10.7%: 1 occurrences (0.2%) 10.0%
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) 0.8% 0.2% Model-free reality across 521 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 100.0% Adjusts normal bell curve for real-world skewness (-0.41) and kurtosis (9.52).
Standard Normal (Black-Scholes / GBM) 0.2% 0.1% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 1.1% 0.3% Filters for historical windows that started with volatility similar to current 20-day HV (372 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

1-Day Return Quantiles

  • Median Return: +0.0%
  • Top 10% Move (90th percentile): +1.5%
  • Bottom 10% Move (10th percentile): -1.8%
  • Max Historical Gain (1d): +10.7%
  • Max Historical Loss (1d): -10.0%