Finance

ABUS Move Probability $4.17 -0.15 (-3.5%)

Real historical back-data analysis: evaluates rolling trading-day windows to determine the probability of a stock touching or closing at your target move.

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Touch Probability (First Passage)
68.9%
Stock touched +5.0% ($4.38) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
26.8%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.57x
You are 2.6x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±10.4%
$3.74 — $4.60

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%.

-22.0% to -18.3%: 2 occurrences (0.4%) -20.1% -18.3% to -14.6%: 12 occurrences (2.4%) -14.6% to -11.0%: 29 occurrences (5.7%) -11.0% to -7.3%: 50 occurrences (9.8%) -9.1% -7.3% to -3.6%: 62 occurrences (12.2%) -3.6% to +0.0%: 91 occurrences (17.9%) +0.0% to +3.7%: 98 occurrences (19.3%) 1.9% +3.7% to +7.4%: 64 occurrences (12.6%) +7.4% to +11.1%: 43 occurrences (8.5%) +11.1% to +14.7%: 29 occurrences (5.7%) 12.9% +14.7% to +18.4%: 11 occurrences (2.2%) +18.4% to +22.1%: 10 occurrences (2.0%) +22.1% to +25.7%: 3 occurrences (0.6%) 23.9% +25.7% to +29.4%: 2 occurrences (0.4%) +29.4% to +33.1%: 1 occurrences (0.2%) +33.1% to +36.7%: 1 occurrences (0.2%) 34.9%
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) 68.9% 26.8% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 29.4% Adjusts normal bell curve for real-world skewness (-0.23) and kurtosis (1.94).
Standard Normal (Black-Scholes / GBM) 63.8% 31.9% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 68.3% 24.7% Filters for historical windows that started with volatility similar to current 20-day HV (401 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 44.0%
  • Recent 20-Day HV: 41.0%
  • Parkinson Intraday Volatility: 42.6%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: +0.3%
  • Top 10% Move (90th percentile): +11.7%
  • Bottom 10% Move (10th percentile): -10.0%
  • Max Historical Gain (14d): +36.7%
  • Max Historical Loss (14d): -22.0%