Finance

AC Move Probability $31.16 -1.48 (-4.5%)

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)
38.4%
Stock touched +5.0% ($32.72) at least once during 14 trading days.
Median first touch: Day 8 of 14
Expiration Close Probability
21.4%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.79x
You are 1.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±8.1%
$28.62 — $33.70

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 224 historical windows (2024-09-23 to 2025-09-04). The colored bar indicates the win zone for +5.0%.

-15.4% to -12.6%: 2 occurrences (0.9%) -14.0% -12.6% to -9.8%: 13 occurrences (5.8%) -9.8% to -7.0%: 10 occurrences (4.5%) -7.0% to -4.2%: 19 occurrences (8.5%) -5.6% -4.2% to -1.4%: 27 occurrences (12.1%) -1.4% to +1.4%: 63 occurrences (28.1%) +1.4% to +4.2%: 36 occurrences (16.1%) 2.8% +4.2% to +7.0%: 32 occurrences (14.3%) +7.0% to +9.8%: 14 occurrences (6.2%) +9.8% to +12.7%: 4 occurrences (1.8%) 11.2% +12.7% to +15.5%: 0 occurrences (0.0%) +15.5% to +18.3%: 2 occurrences (0.9%) +18.3% to +21.1%: 0 occurrences (0.0%) 19.7% +21.1% to +23.9%: 1 occurrences (0.4%) +23.9% to +26.7%: 0 occurrences (0.0%) +26.7% to +29.5%: 1 occurrences (0.4%) 28.1%
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) 38.4% 21.4% Model-free reality across 224 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 12.4% Adjusts normal bell curve for real-world skewness (-2.29) and kurtosis (17.8).
Standard Normal (Black-Scholes / GBM) 54.9% 27.4% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 20.3% 15.3% Filters for historical windows that started with volatility similar to current 20-day HV (59 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 34.5%
  • Recent 20-Day HV: 37.2%
  • Parkinson Intraday Volatility: 7.3%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: -0.1%
  • Top 10% Move (90th percentile): +6.8%
  • Bottom 10% Move (10th percentile): -7.0%
  • Max Historical Gain (14d): +29.5%
  • Max Historical Loss (14d): -15.4%