Finance

AIMD Move Probability $0.89 -0.01 (-1.3%)

Real historical back-data analysis: evaluates rolling trading-day windows to determine the probability of a stock touching or closing at your target move.

← Back to AIMD Options chain →
Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
68.9%
Stock touched +5.0% ($0.94) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
32.9%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.10x
You are 2.1x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±27.0%
$0.65 — $1.14

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%.

-45.8% to -37.8%: 10 occurrences (2.0%) -41.8% -37.8% to -29.8%: 13 occurrences (2.6%) -29.8% to -21.8%: 30 occurrences (5.9%) -21.8% to -13.8%: 67 occurrences (13.2%) -17.8% -13.8% to -5.9%: 83 occurrences (16.3%) -5.9% to +2.1%: 99 occurrences (19.5%) +2.1% to +10.1%: 82 occurrences (16.1%) 6.1% +10.1% to +18.1%: 55 occurrences (10.8%) +18.1% to +26.1%: 29 occurrences (5.7%) +26.1% to +34.1%: 16 occurrences (3.1%) 30.1% +34.1% to +42.1%: 7 occurrences (1.4%) +42.1% to +50.1%: 8 occurrences (1.6%) +50.1% to +58.1%: 4 occurrences (0.8%) 54.1% +58.1% to +66.1%: 1 occurrences (0.2%) +66.1% to +74.1%: 3 occurrences (0.6%) +74.1% to +82.1%: 1 occurrences (0.2%) 78.1%
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) 68.9% 32.9% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 17.0% Adjusts normal bell curve for real-world skewness (2.82) and kurtosis (23.1).
Standard Normal (Black-Scholes / GBM) 85.7% 42.8% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 70.1% 40.9% Filters for historical windows that started with volatility similar to current 20-day HV (274 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 114.8%
  • Recent 20-Day HV: 71.4%
  • Parkinson Intraday Volatility: 71.8%
  • Vol Trend: Compressed (-38% vs baseline)

14-Day Return Quantiles

  • Median Return: -1.4%
  • Top 10% Move (90th percentile): +22.5%
  • Bottom 10% Move (10th percentile): -22.9%
  • Max Historical Gain (14d): +82.1%
  • Max Historical Loss (14d): -45.8%