Finance

ACT Move Probability $45.62 -1.22 (-2.6%)

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)
34.1%
Stock touched +5.0% ($47.90) at least once during 14 trading days.
Median first touch: Day 7 of 14
Expiration Close Probability
19.5%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.75x
You are 1.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±5.2%
$43.24 — $48.00

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%.

-12.5% to -10.8%: 2 occurrences (0.4%) -11.7% -10.8% to -9.1%: 5 occurrences (1.0%) -9.1% to -7.3%: 13 occurrences (2.6%) -7.3% to -5.6%: 26 occurrences (5.1%) -6.5% -5.6% to -3.9%: 37 occurrences (7.3%) -3.9% to -2.1%: 46 occurrences (9.1%) -2.1% to -0.4%: 73 occurrences (14.4%) -1.3% -0.4% to +1.3%: 67 occurrences (13.2%) +1.3% to +3.1%: 69 occurrences (13.6%) +3.1% to +4.8%: 64 occurrences (12.6%) 3.9% +4.8% to +6.5%: 48 occurrences (9.4%) +6.5% to +8.3%: 32 occurrences (6.3%) +8.3% to +10.0%: 17 occurrences (3.3%) 9.1% +10.0% to +11.7%: 6 occurrences (1.2%) +11.7% to +13.5%: 1 occurrences (0.2%) +13.5% to +15.2%: 2 occurrences (0.4%) 14.3%
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) 34.1% 19.5% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 9.5% Adjusts normal bell curve for real-world skewness (-0.01) and kurtosis (4.54).
Standard Normal (Black-Scholes / GBM) 35.0% 17.5% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 46.4% 25.6% Filters for historical windows that started with volatility similar to current 20-day HV (125 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 22.1%
  • Recent 20-Day HV: 34.2%
  • Parkinson Intraday Volatility: 16.3%
  • Vol Trend: Expanded (+54% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.8%
  • Top 10% Move (90th percentile): +6.7%
  • Bottom 10% Move (10th percentile): -5.4%
  • Max Historical Gain (14d): +15.2%
  • Max Historical Loss (14d): -12.5%