Finance

ADV Move Probability $28.30 +0.08 (+0.3%)

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)
70.9%
Stock touched +5.0% ($29.71) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
30.1%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.35x
You are 2.4x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±21.1%
$22.31 — $34.28

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%.

-52.2% to -44.5%: 2 occurrences (0.4%) -48.3% -44.5% to -36.8%: 7 occurrences (1.4%) -36.8% to -29.2%: 13 occurrences (2.6%) -29.2% to -21.5%: 32 occurrences (6.3%) -25.4% -21.5% to -13.9%: 65 occurrences (12.8%) -13.9% to -6.2%: 95 occurrences (18.7%) -6.2% to +1.5%: 86 occurrences (16.9%) -2.4% +1.5% to +9.1%: 86 occurrences (16.9%) +9.1% to +16.8%: 51 occurrences (10.0%) +16.8% to +24.5%: 23 occurrences (4.5%) 20.6% +24.5% to +32.1%: 17 occurrences (3.3%) +32.1% to +39.8%: 11 occurrences (2.2%) +39.8% to +47.5%: 8 occurrences (1.6%) 43.6% +47.5% to +55.1%: 7 occurrences (1.4%) +55.1% to +62.8%: 3 occurrences (0.6%) +62.8% to +70.4%: 2 occurrences (0.4%) 66.6%
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) 70.9% 30.1% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 40.1% Adjusts normal bell curve for real-world skewness (-0.4) and kurtosis (3.14).
Standard Normal (Black-Scholes / GBM) 81.7% 40.9% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 69.6% 22.8% Filters for historical windows that started with volatility similar to current 20-day HV (250 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 89.7%
  • Recent 20-Day HV: 70.7%
  • Parkinson Intraday Volatility: 69.4%
  • Vol Trend: Compressed (-21% vs baseline)

14-Day Return Quantiles

  • Median Return: -3.0%
  • Top 10% Move (90th percentile): +22.7%
  • Bottom 10% Move (10th percentile): -21.8%
  • Max Historical Gain (14d): +70.4%
  • Max Historical Loss (14d): -52.2%