Finance

ACRS Move Probability $3.81 +0.05 (+1.2%)

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)
74.8%
Stock touched +5.0% ($4.00) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
43.7%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.71x
You are 1.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±21.3%
$2.99 — $4.62

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%.

-39.7% to -27.7%: 27 occurrences (5.3%) -33.7% -27.7% to -15.7%: 48 occurrences (9.4%) -15.7% to -3.7%: 103 occurrences (20.3%) -3.7% to +8.2%: 134 occurrences (26.4%) 2.2% +8.2% to +20.2%: 106 occurrences (20.9%) +20.2% to +32.2%: 47 occurrences (9.3%) +32.2% to +44.2%: 11 occurrences (2.2%) 38.2% +44.2% to +56.2%: 13 occurrences (2.6%) +56.2% to +68.2%: 2 occurrences (0.4%) +68.2% to +80.2%: 4 occurrences (0.8%) 74.2% +80.2% to +92.1%: 4 occurrences (0.8%) +92.1% to +104.1%: 4 occurrences (0.8%) +104.1% to +116.1%: 2 occurrences (0.4%) 110.1% +116.1% to +128.1%: 2 occurrences (0.4%) +128.1% to +140.1%: 0 occurrences (0.0%) +140.1% to +152.1%: 1 occurrences (0.2%) 146.1%
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) 74.8% 43.7% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 14.7% Adjusts normal bell curve for real-world skewness (2.81) and kurtosis (22.2).
Standard Normal (Black-Scholes / GBM) 81.9% 41.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 85.6% 56.8% Filters for historical windows that started with volatility similar to current 20-day HV (139 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 90.5%
  • Recent 20-Day HV: 112.7%
  • Parkinson Intraday Volatility: 72.8%
  • Vol Trend: Expanded (+24% vs baseline)

14-Day Return Quantiles

  • Median Return: +2.4%
  • Top 10% Move (90th percentile): +29.0%
  • Bottom 10% Move (10th percentile): -20.0%
  • Max Historical Gain (14d): +152.1%
  • Max Historical Loss (14d): -39.7%