Finance

ACRE Move Probability $3.16 -0.13 (-4.0%)

Real historical back-data analysis: evaluates rolling trading-day windows to determine the probability of a stock touching or closing at your target move.

← Back to ACRE Options chain →
Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
45.1%
Stock touched +5.0% ($3.32) at least once during 14 trading days.
Median first touch: Day 5 of 14
Expiration Close Probability
22.0%
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%)
±9.1%
$2.87 — $3.45

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%.

-25.2% to -21.4%: 6 occurrences (1.2%) -23.3% -21.4% to -17.6%: 9 occurrences (1.8%) -17.6% to -13.8%: 13 occurrences (2.6%) -13.8% to -10.0%: 28 occurrences (5.5%) -11.9% -10.0% to -6.2%: 62 occurrences (12.2%) -6.2% to -2.4%: 99 occurrences (19.5%) -2.4% to +1.4%: 104 occurrences (20.5%) -0.5% +1.4% to +5.2%: 77 occurrences (15.2%) +5.2% to +9.0%: 48 occurrences (9.4%) +9.0% to +12.8%: 35 occurrences (6.9%) 10.9% +12.8% to +16.6%: 16 occurrences (3.1%) +16.6% to +20.4%: 2 occurrences (0.4%) +20.4% to +24.2%: 2 occurrences (0.4%) 22.3% +24.2% to +28.0%: 3 occurrences (0.6%) +28.0% to +31.8%: 1 occurrences (0.2%) +31.8% to +35.6%: 3 occurrences (0.6%) 33.7%
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) 45.1% 22.0% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 18.6% Adjusts normal bell curve for real-world skewness (0.48) and kurtosis (5.26).
Standard Normal (Black-Scholes / GBM) 59.3% 29.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 44.4% 20.4% Filters for historical windows that started with volatility similar to current 20-day HV (304 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 38.7%
  • Recent 20-Day HV: 30.9%
  • Parkinson Intraday Volatility: 28.3%
  • Vol Trend: Compressed (-20% vs baseline)

14-Day Return Quantiles

  • Median Return: -0.9%
  • Top 10% Move (90th percentile): +10.1%
  • Bottom 10% Move (10th percentile): -10.9%
  • Max Historical Gain (14d): +35.6%
  • Max Historical Loss (14d): -25.2%