Finance

AFRM Move Probability $73.46 -0.43 (-0.6%)

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)
19.4%
Stock touched +5.0% ($77.13) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
11.7%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
1.66x
You are 1.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±4.4%
$70.25 — $76.67

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%.

-18.6% to -15.9%: 1 occurrences (0.2%) -17.3% -15.9% to -13.3%: 1 occurrences (0.2%) -13.3% to -10.6%: 3 occurrences (0.6%) -10.6% to -8.0%: 10 occurrences (1.9%) -9.3% -8.0% to -5.3%: 24 occurrences (4.6%) -5.3% to -2.7%: 81 occurrences (15.5%) -2.7% to -0.0%: 136 occurrences (26.1%) -1.3% -0.0% to +2.7%: 124 occurrences (23.8%) +2.7% to +5.3%: 93 occurrences (17.9%) +5.3% to +8.0%: 33 occurrences (6.3%) 6.6% +8.0% to +10.6%: 6 occurrences (1.2%) +10.6% to +13.3%: 5 occurrences (1.0%) +13.3% to +15.9%: 0 occurrences (0.0%) 14.6% +15.9% to +18.6%: 1 occurrences (0.2%) +18.6% to +21.2%: 0 occurrences (0.0%) +21.2% to +23.9%: 3 occurrences (0.6%) 22.6%
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) 19.4% 11.7% Model-free reality across 521 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 8.6% Adjusts normal bell curve for real-world skewness (0.26) and kurtosis (3.27).
Standard Normal (Black-Scholes / GBM) 26.5% 13.2% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 18.6% 11.7% Filters for historical windows that started with volatility similar to current 20-day HV (409 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 69.5%
  • Recent 20-Day HV: 63.5%
  • Parkinson Intraday Volatility: 56.1%
  • Vol Trend: Normal / Consistent

1-Day Return Quantiles

  • Median Return: +0.0%
  • Top 10% Move (90th percentile): +5.2%
  • Bottom 10% Move (10th percentile): -4.8%
  • Max Historical Gain (1d): +23.9%
  • Max Historical Loss (1d): -18.6%