Finance

AGNC Move Probability $8.75 +0.07 (+0.8%)

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)
29.9%
Stock touched +5.0% ($9.19) at least once during 14 trading days.
Median first touch: Day 9 of 14
Expiration Close Probability
18.3%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.63x
You are 1.6x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±5.0%
$8.31 — $9.19

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 508 historical windows (2024-09-13 to 2026-10-13). The colored bar indicates the win zone for +5.0%.

-19.1% to -17.0%: 1 occurrences (0.2%) -18.0% -17.0% to -14.9%: 3 occurrences (0.6%) -14.9% to -12.9%: 4 occurrences (0.8%) -12.9% to -10.8%: 12 occurrences (2.4%) -11.8% -10.8% to -8.7%: 14 occurrences (2.8%) -8.7% to -6.7%: 24 occurrences (4.7%) -6.7% to -4.6%: 24 occurrences (4.7%) -5.6% -4.6% to -2.5%: 42 occurrences (8.3%) -2.5% to -0.5%: 56 occurrences (11.0%) -0.5% to +1.6%: 92 occurrences (18.1%) 0.6% +1.6% to +3.7%: 104 occurrences (20.5%) +3.7% to +5.7%: 51 occurrences (10.0%) +5.7% to +7.8%: 36 occurrences (7.1%) 6.8% +7.8% to +9.9%: 37 occurrences (7.3%) +9.9% to +11.9%: 7 occurrences (1.4%) +11.9% to +14.0%: 1 occurrences (0.2%) 12.9%
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) 29.9% 18.3% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 9.6% Adjusts normal bell curve for real-world skewness (-0.9) and kurtosis (4.91).
Standard Normal (Black-Scholes / GBM) 33.2% 16.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 27.2% 17.0% Filters for historical windows that started with volatility similar to current 20-day HV (323 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 21.3%
  • Recent 20-Day HV: 23.8%
  • Parkinson Intraday Volatility: 19.0%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: +1.1%
  • Top 10% Move (90th percentile): +7.4%
  • Bottom 10% Move (10th percentile): -7.2%
  • Max Historical Gain (14d): +14.0%
  • Max Historical Loss (14d): -19.1%