Finance

AGL Move Probability $89.29 -2.37 (-2.6%)

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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Touch Probability (First Passage)
76.8%
Stock touched +5.0% ($93.75) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
38.2%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.01x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±30.3%
$62.21 — $116.37

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%.

-62.7% to -43.6%: 24 occurrences (4.7%) -53.1% -43.6% to -24.6%: 48 occurrences (9.4%) -24.6% to -5.6%: 138 occurrences (27.2%) -5.6% to +13.5%: 152 occurrences (29.9%) 4.0% +13.5% to +32.5%: 65 occurrences (12.8%) +32.5% to +51.6%: 33 occurrences (6.5%) +51.6% to +70.6%: 17 occurrences (3.3%) 61.1% +70.6% to +89.6%: 7 occurrences (1.4%) +89.6% to +108.7%: 5 occurrences (1.0%) +108.7% to +127.7%: 0 occurrences (0.0%) 118.2% +127.7% to +146.7%: 2 occurrences (0.4%) +146.7% to +165.8%: 2 occurrences (0.4%) +165.8% to +184.8%: 2 occurrences (0.4%) 175.3% +184.8% to +203.8%: 4 occurrences (0.8%) +203.8% to +222.9%: 5 occurrences (1.0%) +222.9% to +241.9%: 4 occurrences (0.8%) 232.4%
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) 76.8% 38.2% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 22.1% Adjusts normal bell curve for real-world skewness (0.26) and kurtosis (28.57).
Standard Normal (Black-Scholes / GBM) 87.2% 43.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 74.6% 35.9% Filters for historical windows that started with volatility similar to current 20-day HV (142 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 128.7%
  • Recent 20-Day HV: 57.6%
  • Parkinson Intraday Volatility: 90.0%
  • Vol Trend: Compressed (-55% vs baseline)

14-Day Return Quantiles

  • Median Return: -2.1%
  • Top 10% Move (90th percentile): +49.0%
  • Bottom 10% Move (10th percentile): -31.5%
  • Max Historical Gain (14d): +241.9%
  • Max Historical Loss (14d): -62.7%