Finance

AGO Move Probability $69.26 -0.73 (-1.0%)

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)
23.8%
Stock touched +5.0% ($72.72) at least once during 14 trading days.
Median first touch: Day 7 of 14
Expiration Close Probability
14.0%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.70x
You are 1.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±5.7%
$65.30 — $73.22

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%.

-11.7% to -10.1%: 12 occurrences (2.4%) -10.9% -10.1% to -8.4%: 13 occurrences (2.6%) -8.4% to -6.7%: 20 occurrences (3.9%) -6.7% to -5.0%: 39 occurrences (7.7%) -5.9% -5.0% to -3.3%: 44 occurrences (8.7%) -3.3% to -1.7%: 68 occurrences (13.4%) -1.7% to +0.0%: 71 occurrences (14.0%) -0.8% +0.0% to +1.7%: 69 occurrences (13.6%) +1.7% to +3.4%: 66 occurrences (13.0%) +3.4% to +5.0%: 35 occurrences (6.9%) 4.2% +5.0% to +6.7%: 26 occurrences (5.1%) +6.7% to +8.4%: 18 occurrences (3.5%) +8.4% to +10.1%: 13 occurrences (2.6%) 9.2% +10.1% to +11.7%: 9 occurrences (1.8%) +11.7% to +13.4%: 1 occurrences (0.2%) +13.4% to +15.1%: 4 occurrences (0.8%) 14.3%
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) 23.8% 14.0% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 8.9% Adjusts normal bell curve for real-world skewness (-0.71) and kurtosis (7.0).
Standard Normal (Black-Scholes / GBM) 39.3% 19.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 15.2% 9.9% Filters for historical windows that started with volatility similar to current 20-day HV (342 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 24.2%
  • Recent 20-Day HV: 17.5%
  • Parkinson Intraday Volatility: 15.5%
  • Vol Trend: Compressed (-28% vs baseline)

14-Day Return Quantiles

  • Median Return: -0.3%
  • Top 10% Move (90th percentile): +6.3%
  • Bottom 10% Move (10th percentile): -6.5%
  • Max Historical Gain (14d): +15.1%
  • Max Historical Loss (14d): -11.7%