Finance

AGNC Move Probability $8.59 -0.09 (-1.1%)

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)
1.9%
Stock touched +5.0% ($9.01) at least once during 3 trading days.
Median first touch: Day 3 of 3
Expiration Close Probability
0.6%
Stock closed at or beyond +5.0% at the end of the 3-day window.
The Touch Multiple
3.33x
You are 3.3x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±2.3%
$8.39 — $8.78

Historical 3-Day Return Distribution

Frequency of rolling 3-day percentage returns over 519 historical windows (2024-09-13 to 2026-10-13). The colored bar indicates the win zone for +5.0%.

-8.6% to -7.6%: 2 occurrences (0.4%) -8.1% -7.6% to -6.7%: 1 occurrences (0.2%) -6.7% to -5.7%: 3 occurrences (0.6%) -5.7% to -4.8%: 7 occurrences (1.3%) -5.3% -4.8% to -3.8%: 20 occurrences (3.9%) -3.8% to -2.9%: 18 occurrences (3.5%) -2.9% to -1.9%: 32 occurrences (6.2%) -2.4% -1.9% to -1.0%: 68 occurrences (13.1%) -1.0% to -0.0%: 85 occurrences (16.4%) -0.0% to +1.0%: 97 occurrences (18.7%) 0.5% +1.0% to +1.9%: 86 occurrences (16.6%) +1.9% to +2.9%: 47 occurrences (9.1%) +2.9% to +3.8%: 33 occurrences (6.4%) 3.3% +3.8% to +4.8%: 14 occurrences (2.7%) +4.8% to +5.7%: 4 occurrences (0.8%) +5.7% to +6.7%: 2 occurrences (0.4%) 6.2%
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) 1.9% 0.6% Model-free reality across 519 historical 3-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 1.5% Adjusts normal bell curve for real-world skewness (-0.9) and kurtosis (4.91).
Standard Normal (Black-Scholes / GBM) 3.6% 1.8% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 0.9% 0.3% Filters for historical windows that started with volatility similar to current 20-day HV (334 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

3-Day Return Quantiles

  • Median Return: +0.2%
  • Top 10% Move (90th percentile): +2.9%
  • Bottom 10% Move (10th percentile): -2.8%
  • Max Historical Gain (3d): +6.7%
  • Max Historical Loss (3d): -8.6%