Finance

ADI Move Probability $389.76 -16.22 (-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.

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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
3.8%
Stock touched +5.0% ($409.25) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
2.3%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
1.67x
You are 1.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±2.3%
$380.69 — $398.84

Historical 1-Day Return Distribution

Frequency of rolling 1-day percentage returns over 522 historical windows (2024-09-23 to 2026-10-22). The colored bar indicates the win zone for +5.0%.

-9.4% to -7.6%: 5 occurrences (1.0%) -8.5% -7.6% to -5.9%: 1 occurrences (0.2%) -5.9% to -4.2%: 8 occurrences (1.5%) -4.2% to -2.4%: 40 occurrences (7.7%) -3.3% -2.4% to -0.7%: 105 occurrences (20.1%) -0.7% to +1.0%: 211 occurrences (40.4%) +1.0% to +2.8%: 103 occurrences (19.7%) 1.9% +2.8% to +4.5%: 31 occurrences (5.9%) +4.5% to +6.2%: 14 occurrences (2.7%) +6.2% to +8.0%: 2 occurrences (0.4%) 7.1% +8.0% to +9.7%: 0 occurrences (0.0%) +9.7% to +11.4%: 1 occurrences (0.2%) +11.4% to +13.2%: 0 occurrences (0.0%) 12.3% +13.2% to +14.9%: 0 occurrences (0.0%) +14.9% to +16.6%: 0 occurrences (0.0%) +16.6% to +18.4%: 1 occurrences (0.2%) 17.5%
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) 3.8% 2.3% Model-free reality across 522 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 14.4% Adjusts normal bell curve for real-world skewness (0.34) and kurtosis (7.15).
Standard Normal (Black-Scholes / GBM) 3.6% 1.8% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 3.1% 2.1% Filters for historical windows that started with volatility similar to current 20-day HV (390 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 37.0%
  • Recent 20-Day HV: 29.4%
  • Parkinson Intraday Volatility: 28.2%
  • Vol Trend: Compressed (-21% vs baseline)

1-Day Return Quantiles

  • Median Return: +0.1%
  • Top 10% Move (90th percentile): +2.6%
  • Bottom 10% Move (10th percentile): -2.5%
  • Max Historical Gain (1d): +18.4%
  • Max Historical Loss (1d): -9.4%