Finance

AEE Move Probability $106.49 +0.34 (+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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Touch Probability (First Passage)
22.2%
Stock touched +5.0% ($111.81) at least once during 14 trading days.
Median first touch: Day 9 of 14
Expiration Close Probability
11.2%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.98x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±4.1%
$102.10 — $110.88

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%.

-7.8% to -6.7%: 2 occurrences (0.4%) -7.2% -6.7% to -5.6%: 9 occurrences (1.8%) -5.6% to -4.5%: 13 occurrences (2.6%) -4.5% to -3.4%: 33 occurrences (6.5%) -4.0% -3.4% to -2.3%: 38 occurrences (7.5%) -2.3% to -1.2%: 52 occurrences (10.2%) -1.2% to -0.1%: 70 occurrences (13.8%) -0.7% -0.1% to +1.0%: 70 occurrences (13.8%) +1.0% to +2.1%: 55 occurrences (10.8%) +2.1% to +3.2%: 48 occurrences (9.4%) 2.6% +3.2% to +4.3%: 39 occurrences (7.7%) +4.3% to +5.4%: 30 occurrences (5.9%) +5.4% to +6.5%: 19 occurrences (3.7%) 5.9% +6.5% to +7.5%: 20 occurrences (3.9%) +7.5% to +8.6%: 7 occurrences (1.4%) +8.6% to +9.7%: 3 occurrences (0.6%) 9.2%
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) 22.2% 11.2% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 8.9% Adjusts normal bell curve for real-world skewness (-0.37) and kurtosis (1.85).
Standard Normal (Black-Scholes / GBM) 23.6% 11.8% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 22.9% 12.3% Filters for historical windows that started with volatility similar to current 20-day HV (415 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 17.5%
  • Recent 20-Day HV: 16.2%
  • Parkinson Intraday Volatility: 15.0%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: +0.5%
  • Top 10% Move (90th percentile): +5.2%
  • Bottom 10% Move (10th percentile): -3.6%
  • Max Historical Gain (14d): +9.7%
  • Max Historical Loss (14d): -7.8%