Finance

ALAB Move Probability $229.63 -29.09 (-11.2%)

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)
64.3%
Stock touched +5.0% ($241.11) at least once during 4 trading days.
Median first touch: Day 1 of 4
Expiration Close Probability
35.3%
Stock closed at or beyond +5.0% at the end of the 4-day window.
The Touch Multiple
1.82x
You are 1.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±12.1%
$201.83 — $257.43

Historical 4-Day Return Distribution

Frequency of rolling 4-day percentage returns over 518 historical windows (2024-10-03 to 2026-11-02). The colored bar indicates the win zone for +5.0%.

-33.2% to -28.3%: 4 occurrences (0.8%) -30.7% -28.3% to -23.4%: 5 occurrences (1.0%) -23.4% to -18.5%: 7 occurrences (1.4%) -18.5% to -13.6%: 27 occurrences (5.2%) -16.1% -13.6% to -8.8%: 47 occurrences (9.1%) -8.8% to -3.9%: 63 occurrences (12.2%) -3.9% to +1.0%: 101 occurrences (19.5%) -1.4% +1.0% to +5.9%: 95 occurrences (18.3%) +5.9% to +10.8%: 73 occurrences (14.1%) +10.8% to +15.7%: 36 occurrences (6.9%) 13.2% +15.7% to +20.5%: 19 occurrences (3.7%) +20.5% to +25.4%: 14 occurrences (2.7%) +25.4% to +30.3%: 13 occurrences (2.5%) 27.9% +30.3% to +35.2%: 8 occurrences (1.5%) +35.2% to +40.1%: 2 occurrences (0.4%) +40.1% to +44.9%: 4 occurrences (0.8%) 42.5%
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) 64.3% 35.3% Model-free reality across 518 historical 4-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 27.8% Adjusts normal bell curve for real-world skewness (-0.04) and kurtosis (3.99).
Standard Normal (Black-Scholes / GBM) 68.7% 34.3% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 67.4% 39.6% Filters for historical windows that started with volatility similar to current 20-day HV (417 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 96.1%
  • Recent 20-Day HV: 98.2%
  • Parkinson Intraday Volatility: 71.7%
  • Vol Trend: Normal / Consistent

4-Day Return Quantiles

  • Median Return: +1.2%
  • Top 10% Move (90th percentile): +17.0%
  • Bottom 10% Move (10th percentile): -11.9%
  • Max Historical Gain (4d): +44.9%
  • Max Historical Loss (4d): -33.2%