Finance

AEI Move Probability $0.60 -0.05 (-7.7%)

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)
61.7%
Stock touched +5.0% ($0.63) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
33.1%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.86x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±28.5%
$0.43 — $0.77

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 507 historical windows (2024-09-23 to 2026-10-20). The colored bar indicates the win zone for +5.0%.

-42.3% to -25.9%: 43 occurrences (8.5%) -34.1% -25.9% to -9.6%: 157 occurrences (31.0%) -9.6% to +6.8%: 148 occurrences (29.2%) +6.8% to +23.1%: 87 occurrences (17.2%) 15.0% +23.1% to +39.5%: 43 occurrences (8.5%) +39.5% to +55.9%: 12 occurrences (2.4%) +55.9% to +72.2%: 7 occurrences (1.4%) 64.0% +72.2% to +88.6%: 1 occurrences (0.2%) +88.6% to +104.9%: 2 occurrences (0.4%) +104.9% to +121.3%: 1 occurrences (0.2%) 113.1% +121.3% to +137.6%: 2 occurrences (0.4%) +137.6% to +154.0%: 2 occurrences (0.4%) +154.0% to +170.3%: 0 occurrences (0.0%) 162.2% +170.3% to +186.7%: 0 occurrences (0.0%) +186.7% to +203.0%: 1 occurrences (0.2%) +203.0% to +219.4%: 1 occurrences (0.2%) 211.2%
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) 61.7% 33.1% Model-free reality across 507 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 32.1% Adjusts normal bell curve for real-world skewness (0.96) and kurtosis (7.57).
Standard Normal (Black-Scholes / GBM) 86.4% 43.2% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 53.6% 37.5% Filters for historical windows that started with volatility similar to current 20-day HV (168 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 121.0%
  • Recent 20-Day HV: 64.4%
  • Parkinson Intraday Volatility: 68.0%
  • Vol Trend: Compressed (-47% vs baseline)

14-Day Return Quantiles

  • Median Return: -4.0%
  • Top 10% Move (90th percentile): +28.5%
  • Bottom 10% Move (10th percentile): -24.4%
  • Max Historical Gain (14d): +219.4%
  • Max Historical Loss (14d): -42.3%