Finance

ALH Move Probability $21.34 -0.11 (-0.5%)

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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Touch Probability (First Passage)
39.8%
Stock touched +5.0% ($22.40) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
21.5%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.85x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±8.4%
$19.54 — $23.13

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 246 historical windows (2025-10-09 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-19.6% to -16.2%: 2 occurrences (0.8%) -17.9% -16.2% to -12.8%: 14 occurrences (5.7%) -12.8% to -9.4%: 27 occurrences (11.0%) -9.4% to -6.0%: 27 occurrences (11.0%) -7.7% -6.0% to -2.6%: 30 occurrences (12.2%) -2.6% to +0.9%: 44 occurrences (17.9%) +0.9% to +4.3%: 41 occurrences (16.7%) 2.6% +4.3% to +7.7%: 32 occurrences (13.0%) +7.7% to +11.1%: 13 occurrences (5.3%) +11.1% to +14.5%: 4 occurrences (1.6%) 12.8% +14.5% to +17.9%: 3 occurrences (1.2%) +17.9% to +21.3%: 1 occurrences (0.4%) +21.3% to +24.7%: 4 occurrences (1.6%) 23.0% +24.7% to +28.1%: 1 occurrences (0.4%) +28.1% to +31.5%: 2 occurrences (0.8%) +31.5% to +35.0%: 1 occurrences (0.4%) 33.3%
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) 39.8% 21.5% Model-free reality across 246 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 23.1% Adjusts normal bell curve for real-world skewness (-0.58) and kurtosis (3.81).
Standard Normal (Black-Scholes / GBM) 56.3% 28.1% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 62.5% 37.5% Filters for historical windows that started with volatility similar to current 20-day HV (24 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 35.8%
  • Recent 20-Day HV: 19.4%
  • Parkinson Intraday Volatility: 31.5%
  • Vol Trend: Compressed (-46% vs baseline)

14-Day Return Quantiles

  • Median Return: -1.0%
  • Top 10% Move (90th percentile): +8.2%
  • Bottom 10% Move (10th percentile): -11.7%
  • Max Historical Gain (14d): +35.0%
  • Max Historical Loss (14d): -19.6%