Finance

AGIO Move Probability $37.21 +0.54 (+1.5%)

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)
70.7%
Stock touched +5.0% ($39.07) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
35.0%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.02x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±17.6%
$30.65 — $43.77

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%.

-48.4% to -43.0%: 3 occurrences (0.6%) -45.7% -43.0% to -37.5%: 8 occurrences (1.6%) -37.5% to -32.1%: 8 occurrences (1.6%) -32.1% to -26.7%: 10 occurrences (2.0%) -29.4% -26.7% to -21.2%: 10 occurrences (2.0%) -21.2% to -15.8%: 17 occurrences (3.3%) -15.8% to -10.3%: 27 occurrences (5.3%) -13.1% -10.3% to -4.9%: 50 occurrences (9.8%) -4.9% to +0.5%: 121 occurrences (23.8%) +0.5% to +6.0%: 85 occurrences (16.7%) 3.3% +6.0% to +11.4%: 67 occurrences (13.2%) +11.4% to +16.9%: 52 occurrences (10.2%) +16.9% to +22.3%: 25 occurrences (4.9%) 19.6% +22.3% to +27.7%: 11 occurrences (2.2%) +27.7% to +33.2%: 7 occurrences (1.4%) +33.2% to +38.6%: 7 occurrences (1.4%) 35.9%
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) 70.7% 35.0% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 20.5% Adjusts normal bell curve for real-world skewness (-6.99) and kurtosis (102.23).
Standard Normal (Black-Scholes / GBM) 78.2% 39.1% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 70.9% 33.6% Filters for historical windows that started with volatility similar to current 20-day HV (327 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 74.8%
  • Recent 20-Day HV: 54.4%
  • Parkinson Intraday Volatility: 44.5%
  • Vol Trend: Compressed (-27% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.5%
  • Top 10% Move (90th percentile): +16.8%
  • Bottom 10% Move (10th percentile): -17.2%
  • Max Historical Gain (14d): +38.6%
  • Max Historical Loss (14d): -48.4%