Finance

AILLP Move Probability $60.30 -0.24 (-0.4%)

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)
14.0%
Stock touched +5.0% ($63.31) at least once during 14 trading days.
Median first touch: Day 8 of 14
Expiration Close Probability
6.2%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.27x
You are 2.3x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±4.3%
$57.69 — $62.91

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 487 historical windows (2024-10-22 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-9.3% to -8.3%: 4 occurrences (0.8%) -8.8% -8.3% to -7.3%: 2 occurrences (0.4%) -7.3% to -6.3%: 2 occurrences (0.4%) -6.3% to -5.3%: 23 occurrences (4.7%) -5.8% -5.3% to -4.3%: 14 occurrences (2.9%) -4.3% to -3.2%: 23 occurrences (4.7%) -3.2% to -2.2%: 44 occurrences (9.0%) -2.7% -2.2% to -1.2%: 36 occurrences (7.4%) -1.2% to -0.2%: 108 occurrences (22.2%) -0.2% to +0.8%: 106 occurrences (21.8%) 0.3% +0.8% to +1.8%: 25 occurrences (5.1%) +1.8% to +2.9%: 24 occurrences (4.9%) +2.9% to +3.9%: 14 occurrences (2.9%) 3.4% +3.9% to +4.9%: 28 occurrences (5.7%) +4.9% to +5.9%: 25 occurrences (5.1%) +5.9% to +6.9%: 9 occurrences (1.8%) 6.4%
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) 14.0% 6.2% Model-free reality across 487 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 0.8% Adjusts normal bell curve for real-world skewness (-0.79) and kurtosis (15.93).
Standard Normal (Black-Scholes / GBM) 26.0% 13.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 16.2% 3.6% Filters for historical windows that started with volatility similar to current 20-day HV (111 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 18.4%
  • Recent 20-Day HV: 10.2%
  • Parkinson Intraday Volatility: 7.9%
  • Vol Trend: Compressed (-45% vs baseline)

14-Day Return Quantiles

  • Median Return: -0.3%
  • Top 10% Move (90th percentile): +4.5%
  • Bottom 10% Move (10th percentile): -3.9%
  • Max Historical Gain (14d): +6.9%
  • Max Historical Loss (14d): -9.3%