Finance

ACA Move Probability $149.03 +1.56 (+1.1%)

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)
43.5%
Stock touched +5.0% ($156.48) at least once during 14 trading days.
Median first touch: Day 6 of 14
Expiration Close Probability
30.3%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.44x
You are 1.4x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±7.7%
$137.54 — $160.52

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 -19.5%: 4 occurrences (0.8%) -20.7% -19.5% to -16.9%: 7 occurrences (1.4%) -16.9% to -14.4%: 3 occurrences (0.6%) -14.4% to -11.9%: 12 occurrences (2.4%) -13.2% -11.9% to -9.4%: 12 occurrences (2.4%) -9.4% to -6.8%: 12 occurrences (2.4%) -6.8% to -4.3%: 38 occurrences (7.5%) -5.6% -4.3% to -1.8%: 42 occurrences (8.3%) -1.8% to +0.7%: 116 occurrences (22.8%) +0.7% to +3.3%: 81 occurrences (15.9%) 2.0% +3.3% to +5.8%: 49 occurrences (9.6%) +5.8% to +8.3%: 40 occurrences (7.9%) +8.3% to +10.8%: 40 occurrences (7.9%) 9.6% +10.8% to +13.4%: 26 occurrences (5.1%) +13.4% to +15.9%: 13 occurrences (2.6%) +15.9% to +18.4%: 13 occurrences (2.6%) 17.1%
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) 43.5% 30.3% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 6.4% Adjusts normal bell curve for real-world skewness (-0.26) and kurtosis (13.44).
Standard Normal (Black-Scholes / GBM) 52.7% 26.3% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 0.0% 0.0% Filters for historical windows that started with volatility similar to current 20-day HV (10 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 32.7%
  • Recent 20-Day HV: 4.5%
  • Parkinson Intraday Volatility: 21.3%
  • Vol Trend: Compressed (-86% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.9%
  • Top 10% Move (90th percentile): +10.9%
  • Bottom 10% Move (10th percentile): -6.6%
  • Max Historical Gain (14d): +18.4%
  • Max Historical Loss (14d): -22.0%