Finance

AFL Move Probability $120.09 -0.20 (-0.2%)

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)
24.6%
Stock touched +5.0% ($126.10) 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
2.19x
You are 2.2x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±4.7%
$114.51 — $125.68

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%.

-12.1% to -10.6%: 2 occurrences (0.4%) -11.3% -10.6% to -9.2%: 1 occurrences (0.2%) -9.2% to -7.8%: 8 occurrences (1.6%) -7.8% to -6.3%: 8 occurrences (1.6%) -7.1% -6.3% to -4.9%: 17 occurrences (3.3%) -4.9% to -3.5%: 35 occurrences (6.9%) -3.5% to -2.0%: 78 occurrences (15.4%) -2.8% -2.0% to -0.6%: 67 occurrences (13.2%) -0.6% to +0.8%: 65 occurrences (12.8%) +0.8% to +2.2%: 68 occurrences (13.4%) 1.5% +2.2% to +3.7%: 55 occurrences (10.8%) +3.7% to +5.1%: 49 occurrences (9.6%) +5.1% to +6.5%: 30 occurrences (5.9%) 5.8% +6.5% to +8.0%: 15 occurrences (3.0%) +8.0% to +9.4%: 8 occurrences (1.6%) +9.4% to +10.8%: 2 occurrences (0.4%) 10.1%
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) 24.6% 11.2% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 6.2% Adjusts normal bell curve for real-world skewness (-1.02) and kurtosis (6.7).
Standard Normal (Black-Scholes / GBM) 29.4% 14.7% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 26.2% 11.2% Filters for historical windows that started with volatility similar to current 20-day HV (367 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 19.7%
  • Recent 20-Day HV: 15.9%
  • Parkinson Intraday Volatility: 15.6%
  • Vol Trend: Compressed (-19% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.2%
  • Top 10% Move (90th percentile): +5.4%
  • Bottom 10% Move (10th percentile): -4.1%
  • Max Historical Gain (14d): +10.8%
  • Max Historical Loss (14d): -12.1%