Finance

ACI Move Probability $12.87 +0.34 (+2.7%)

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)
11.6%
Stock touched +5.0% ($13.51) at least once during 3 trading days.
Median first touch: Day 2 of 3
Expiration Close Probability
5.8%
Stock closed at or beyond +5.0% at the end of the 3-day window.
The Touch Multiple
2.00x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±3.7%
$12.39 — $13.34

Historical 3-Day Return Distribution

Frequency of rolling 3-day percentage returns over 519 historical windows (2024-09-13 to 2026-10-13). The colored bar indicates the win zone for +5.0%.

-24.0% to -21.6%: 2 occurrences (0.4%) -22.8% -21.6% to -19.3%: 1 occurrences (0.2%) -19.3% to -16.9%: 0 occurrences (0.0%) -16.9% to -14.6%: 0 occurrences (0.0%) -15.8% -14.6% to -12.2%: 0 occurrences (0.0%) -12.2% to -9.9%: 0 occurrences (0.0%) -9.9% to -7.6%: 6 occurrences (1.2%) -8.7% -7.6% to -5.2%: 12 occurrences (2.3%) -5.2% to -2.9%: 60 occurrences (11.6%) -2.9% to -0.5%: 146 occurrences (28.1%) -1.7% -0.5% to +1.8%: 170 occurrences (32.8%) +1.8% to +4.2%: 77 occurrences (14.8%) +4.2% to +6.5%: 31 occurrences (6.0%) 5.3% +6.5% to +8.9%: 8 occurrences (1.5%) +8.9% to +11.2%: 2 occurrences (0.4%) +11.2% to +13.5%: 4 occurrences (0.8%) 12.4%
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) 11.6% 5.8% Model-free reality across 519 historical 3-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 0.0% Adjusts normal bell curve for real-world skewness (-2.46) and kurtosis (33.95).
Standard Normal (Black-Scholes / GBM) 18.9% 9.5% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 14.4% 7.0% Filters for historical windows that started with volatility similar to current 20-day HV (313 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 34.1%
  • Recent 20-Day HV: 32.9%
  • Parkinson Intraday Volatility: 25.6%
  • Vol Trend: Normal / Consistent

3-Day Return Quantiles

  • Median Return: -0.1%
  • Top 10% Move (90th percentile): +3.9%
  • Bottom 10% Move (10th percentile): -3.7%
  • Max Historical Gain (3d): +13.5%
  • Max Historical Loss (3d): -24.0%