Finance

ACLS Move Probability $116.61 +3.44 (+3.0%)

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)
65.7%
Stock touched +5.0% ($122.44) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
37.2%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.77x
You are 1.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±14.1%
$100.16 — $133.05

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%.

-31.2% to -26.3%: 2 occurrences (0.4%) -28.8% -26.3% to -21.4%: 15 occurrences (3.0%) -21.4% to -16.5%: 18 occurrences (3.5%) -16.5% to -11.6%: 50 occurrences (9.8%) -14.1% -11.6% to -6.7%: 67 occurrences (13.2%) -6.7% to -1.8%: 85 occurrences (16.7%) -1.8% to +3.1%: 63 occurrences (12.4%) 0.6% +3.1% to +8.0%: 58 occurrences (11.4%) +8.0% to +12.9%: 44 occurrences (8.7%) +12.9% to +17.8%: 49 occurrences (9.6%) 15.3% +17.8% to +22.7%: 21 occurrences (4.1%) +22.7% to +27.6%: 15 occurrences (3.0%) +27.6% to +32.5%: 8 occurrences (1.6%) 30.0% +32.5% to +37.4%: 4 occurrences (0.8%) +37.4% to +42.3%: 3 occurrences (0.6%) +42.3% to +47.2%: 6 occurrences (1.2%) 44.7%
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) 65.7% 37.2% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 31.1% Adjusts normal bell curve for real-world skewness (-0.22) and kurtosis (4.36).
Standard Normal (Black-Scholes / GBM) 72.9% 36.5% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 67.9% 38.2% Filters for historical windows that started with volatility similar to current 20-day HV (330 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 59.8%
  • Recent 20-Day HV: 61.6%
  • Parkinson Intraday Volatility: 42.1%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: -0.5%
  • Top 10% Move (90th percentile): +19.1%
  • Bottom 10% Move (10th percentile): -14.5%
  • Max Historical Gain (14d): +47.2%
  • Max Historical Loss (14d): -31.2%