Finance

AI Move Probability $11.78 +0.08 (+0.7%)

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)
69.3%
Stock touched +5.0% ($12.37) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
33.5%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.07x
You are 2.1x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±15.4%
$9.97 — $13.59

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%.

-42.2% to -36.0%: 3 occurrences (0.6%) -39.1% -36.0% to -29.7%: 9 occurrences (1.8%) -29.7% to -23.5%: 17 occurrences (3.3%) -23.5% to -17.3%: 30 occurrences (5.9%) -20.4% -17.3% to -11.1%: 64 occurrences (12.6%) -11.1% to -4.8%: 73 occurrences (14.4%) -4.8% to +1.4%: 87 occurrences (17.1%) -1.7% +1.4% to +7.6%: 94 occurrences (18.5%) +7.6% to +13.8%: 69 occurrences (13.6%) +13.8% to +20.1%: 30 occurrences (5.9%) 16.9% +20.1% to +26.3%: 15 occurrences (3.0%) +26.3% to +32.5%: 9 occurrences (1.8%) +32.5% to +38.7%: 2 occurrences (0.4%) 35.6% +38.7% to +45.0%: 3 occurrences (0.6%) +45.0% to +51.2%: 1 occurrences (0.2%) +51.2% to +57.4%: 2 occurrences (0.4%) 54.3%
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) 69.3% 33.5% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 28.7% Adjusts normal bell curve for real-world skewness (-0.39) and kurtosis (8.1).
Standard Normal (Black-Scholes / GBM) 75.1% 37.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 72.6% 39.3% Filters for historical windows that started with volatility similar to current 20-day HV (270 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 65.3%
  • Recent 20-Day HV: 43.8%
  • Parkinson Intraday Volatility: 53.6%
  • Vol Trend: Compressed (-33% vs baseline)

14-Day Return Quantiles

  • Median Return: -0.4%
  • Top 10% Move (90th percentile): +15.1%
  • Bottom 10% Move (10th percentile): -18.3%
  • Max Historical Gain (14d): +57.4%
  • Max Historical Loss (14d): -42.2%