Finance

ALGT Move Probability $70.04 +1.05 (+1.5%)

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)
72.6%
Stock touched +5.0% ($73.54) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
41.9%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.73x
You are 1.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±14.7%
$59.74 — $80.34

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%.

-36.4% to -31.1%: 6 occurrences (1.2%) -33.8% -31.1% to -25.8%: 10 occurrences (2.0%) -25.8% to -20.5%: 21 occurrences (4.1%) -20.5% to -15.2%: 30 occurrences (5.9%) -17.8% -15.2% to -9.8%: 41 occurrences (8.1%) -9.8% to -4.5%: 54 occurrences (10.6%) -4.5% to +0.8%: 77 occurrences (15.2%) -1.9% +0.8% to +6.1%: 71 occurrences (14.0%) +6.1% to +11.4%: 70 occurrences (13.8%) +11.4% to +16.8%: 55 occurrences (10.8%) 14.1% +16.8% to +22.1%: 33 occurrences (6.5%) +22.1% to +27.4%: 20 occurrences (3.9%) +27.4% to +32.7%: 10 occurrences (2.0%) 30.1% +32.7% to +38.0%: 7 occurrences (1.4%) +38.0% to +43.4%: 2 occurrences (0.4%) +43.4% to +48.7%: 1 occurrences (0.2%) 46.0%
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) 72.6% 41.9% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 30.1% Adjusts normal bell curve for real-world skewness (0.52) and kurtosis (3.12).
Standard Normal (Black-Scholes / GBM) 74.0% 37.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 73.9% 35.2% Filters for historical windows that started with volatility similar to current 20-day HV (349 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 62.4%
  • Recent 20-Day HV: 51.2%
  • Parkinson Intraday Volatility: 45.1%
  • Vol Trend: Compressed (-18% vs baseline)

14-Day Return Quantiles

  • Median Return: +2.1%
  • Top 10% Move (90th percentile): +19.5%
  • Bottom 10% Move (10th percentile): -17.2%
  • Max Historical Gain (14d): +48.7%
  • Max Historical Loss (14d): -36.4%