Finance

ABX Move Probability $8.50 +0.12 (+1.4%)

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)
59.8%
Stock touched +5.0% ($8.93) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
29.3%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.04x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±13.2%
$7.38 — $9.62

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%.

-36.2% to -30.6%: 4 occurrences (0.8%) -33.4% -30.6% to -24.9%: 10 occurrences (2.0%) -24.9% to -19.3%: 6 occurrences (1.2%) -19.3% to -13.6%: 23 occurrences (4.5%) -16.5% -13.6% to -8.0%: 73 occurrences (14.4%) -8.0% to -2.4%: 119 occurrences (23.4%) -2.4% to +3.3%: 103 occurrences (20.3%) 0.5% +3.3% to +8.9%: 60 occurrences (11.8%) +8.9% to +14.6%: 37 occurrences (7.3%) +14.6% to +20.2%: 38 occurrences (7.5%) 17.4% +20.2% to +25.9%: 23 occurrences (4.5%) +25.9% to +31.5%: 5 occurrences (1.0%) +31.5% to +37.1%: 3 occurrences (0.6%) 34.3% +37.1% to +42.8%: 1 occurrences (0.2%) +42.8% to +48.4%: 2 occurrences (0.4%) +48.4% to +54.1%: 1 occurrences (0.2%) 51.3%
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) 59.8% 29.3% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 27.9% Adjusts normal bell curve for real-world skewness (-0.48) and kurtosis (6.68).
Standard Normal (Black-Scholes / GBM) 71.1% 35.5% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 57.0% 24.4% Filters for historical windows that started with volatility similar to current 20-day HV (328 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 55.8%
  • Recent 20-Day HV: 43.5%
  • Parkinson Intraday Volatility: 46.8%
  • Vol Trend: Compressed (-22% vs baseline)

14-Day Return Quantiles

  • Median Return: -1.4%
  • Top 10% Move (90th percentile): +17.3%
  • Bottom 10% Move (10th percentile): -13.1%
  • Max Historical Gain (14d): +54.1%
  • Max Historical Loss (14d): -36.2%