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)
0.2%
Stock touched +5.0% ($126.10) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
0.2%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
1.00x
You are 1.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±1.2%
$118.60 — $121.59

Historical 1-Day Return Distribution

Frequency of rolling 1-day percentage returns over 521 historical windows (2024-09-23 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-8.7% to -7.8%: 1 occurrences (0.2%) -8.3% -7.8% to -7.0%: 0 occurrences (0.0%) -7.0% to -6.1%: 0 occurrences (0.0%) -6.1% to -5.2%: 0 occurrences (0.0%) -5.6% -5.2% to -4.3%: 2 occurrences (0.4%) -4.3% to -3.4%: 3 occurrences (0.6%) -3.4% to -2.5%: 4 occurrences (0.8%) -3.0% -2.5% to -1.6%: 24 occurrences (4.6%) -1.6% to -0.7%: 77 occurrences (14.8%) -0.7% to +0.2%: 168 occurrences (32.2%) -0.3% +0.2% to +1.0%: 145 occurrences (27.8%) +1.0% to +1.9%: 74 occurrences (14.2%) +1.9% to +2.8%: 17 occurrences (3.3%) 2.4% +2.8% to +3.7%: 5 occurrences (1.0%) +3.7% to +4.6%: 0 occurrences (0.0%) +4.6% to +5.5%: 1 occurrences (0.2%) 5.0%
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) 0.2% 0.2% Model-free reality across 521 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 100.0% Adjusts normal bell curve for real-world skewness (-1.02) and kurtosis (6.7).
Standard Normal (Black-Scholes / GBM) 0.0% 0.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 0.0% 0.0% Filters for historical windows that started with volatility similar to current 20-day HV (380 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)

1-Day Return Quantiles

  • Median Return: +0.1%
  • Top 10% Move (90th percentile): +1.4%
  • Bottom 10% Move (10th percentile): -1.3%
  • Max Historical Gain (1d): +5.5%
  • Max Historical Loss (1d): -8.7%