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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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
16.1%
Stock touched +5.0% ($12.37) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
7.3%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
2.21x
You are 2.2x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±4.1%
$11.30 — $12.26

Historical 1-Day Return Distribution

Frequency of rolling 1-day percentage returns over 521 historical windows (2024-09-23 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-25.6% to -22.5%: 1 occurrences (0.2%) -24.1% -22.5% to -19.4%: 0 occurrences (0.0%) -19.4% to -16.3%: 1 occurrences (0.2%) -16.3% to -13.2%: 0 occurrences (0.0%) -14.7% -13.2% to -10.1%: 3 occurrences (0.6%) -10.1% to -6.9%: 11 occurrences (2.1%) -6.9% to -3.8%: 58 occurrences (11.1%) -5.4% -3.8% to -0.7%: 138 occurrences (26.5%) -0.7% to +2.4%: 196 occurrences (37.6%) +2.4% to +5.5%: 85 occurrences (16.3%) 4.0% +5.5% to +8.6%: 19 occurrences (3.6%) +8.6% to +11.7%: 4 occurrences (0.8%) +11.7% to +14.8%: 2 occurrences (0.4%) 13.3% +14.8% to +18.0%: 1 occurrences (0.2%) +18.0% to +21.1%: 1 occurrences (0.2%) +21.1% to +24.2%: 1 occurrences (0.2%) 22.6%
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) 16.1% 7.3% Model-free reality across 521 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 3.3% Adjusts normal bell curve for real-world skewness (-0.39) and kurtosis (8.1).
Standard Normal (Black-Scholes / GBM) 23.6% 11.8% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 18.7% 9.2% Filters for historical windows that started with volatility similar to current 20-day HV (283 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)

1-Day Return Quantiles

  • Median Return: -0.1%
  • Top 10% Move (90th percentile): +4.2%
  • Bottom 10% Move (10th percentile): -4.6%
  • Max Historical Gain (1d): +24.2%
  • Max Historical Loss (1d): -25.6%