Finance

AGLT Move Probability $9.88 -1.52 (-13.4%)

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)
39.4%
Stock touched +5.0% ($10.37) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
15.4%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.56x
You are 2.6x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±15.6%
$8.34 — $11.42

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 175 historical windows (2026-02-09 to 2026-11-06). The colored bar indicates the win zone for +5.0%.

-24.5% to -17.5%: 11 occurrences (6.3%) -21.0% -17.5% to -10.6%: 25 occurrences (14.3%) -10.6% to -3.7%: 20 occurrences (11.4%) -3.7% to +3.3%: 90 occurrences (51.4%) -0.2% +3.3% to +10.2%: 5 occurrences (2.9%) +10.2% to +17.2%: 5 occurrences (2.9%) +17.2% to +24.1%: 6 occurrences (3.4%) 20.6% +24.1% to +31.1%: 1 occurrences (0.6%) +31.1% to +38.0%: 1 occurrences (0.6%) +38.0% to +45.0%: 1 occurrences (0.6%) 41.5% +45.0% to +51.9%: 2 occurrences (1.1%) +51.9% to +58.8%: 3 occurrences (1.7%) +58.8% to +65.8%: 1 occurrences (0.6%) 62.3% +65.8% to +72.7%: 3 occurrences (1.7%) +72.7% to +79.7%: 0 occurrences (0.0%) +79.7% to +86.6%: 1 occurrences (0.6%) 83.1%
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) 39.4% 15.4% Model-free reality across 175 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 28.2% Adjusts normal bell curve for real-world skewness (0.22) and kurtosis (6.14).
Standard Normal (Black-Scholes / GBM) 75.4% 37.7% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 86.2% 34.5% Filters for historical windows that started with volatility similar to current 20-day HV (29 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 66.0%
  • Recent 20-Day HV: 121.4%
  • Parkinson Intraday Volatility: 59.7%
  • Vol Trend: Expanded (+84% vs baseline)

14-Day Return Quantiles

  • Median Return: -0.1%
  • Top 10% Move (90th percentile): +17.4%
  • Bottom 10% Move (10th percentile): -15.1%
  • Max Historical Gain (14d): +86.6%
  • Max Historical Loss (14d): -24.5%