Finance

ALB Move Probability $94.46 -1.29 (-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.

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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
16.7%
Stock touched +5.0% ($99.18) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
7.9%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
2.12x
You are 2.1x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±3.6%
$91.03 — $97.89

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%.

-12.7% to -10.8%: 4 occurrences (0.8%) -11.7% -10.8% to -8.8%: 4 occurrences (0.8%) -8.8% to -6.8%: 9 occurrences (1.7%) -6.8% to -4.8%: 21 occurrences (4.0%) -5.8% -4.8% to -2.8%: 58 occurrences (11.1%) -2.8% to -0.8%: 114 occurrences (21.9%) -0.8% to +1.2%: 134 occurrences (25.7%) 0.2% +1.2% to +3.2%: 90 occurrences (17.3%) +3.2% to +5.2%: 48 occurrences (9.2%) +5.2% to +7.2%: 24 occurrences (4.6%) 6.2% +7.2% to +9.2%: 11 occurrences (2.1%) +9.2% to +11.2%: 2 occurrences (0.4%) +11.2% to +13.1%: 0 occurrences (0.0%) 12.2% +13.1% to +15.1%: 0 occurrences (0.0%) +15.1% to +17.1%: 1 occurrences (0.2%) +17.1% to +19.1%: 1 occurrences (0.2%) 18.1%
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) 16.7% 7.9% Model-free reality across 521 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 7.0% Adjusts normal bell curve for real-world skewness (0.04) and kurtosis (2.02).
Standard Normal (Black-Scholes / GBM) 17.9% 9.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 16.7% 11.1% Filters for historical windows that started with volatility similar to current 20-day HV (18 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 57.7%
  • Recent 20-Day HV: 26.1%
  • Parkinson Intraday Volatility: 43.9%
  • Vol Trend: Compressed (-55% vs baseline)

1-Day Return Quantiles

  • Median Return: -0.0%
  • Top 10% Move (90th percentile): +4.5%
  • Bottom 10% Move (10th percentile): -4.0%
  • Max Historical Gain (1d): +19.1%
  • Max Historical Loss (1d): -12.7%