Finance

ALHC Move Probability $8.70 -1.71 (-16.5%)

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)
10.6%
Stock touched +5.0% ($9.13) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
6.0%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
1.77x
You are 1.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±4.0%
$8.35 — $9.04

Historical 1-Day Return Distribution

Frequency of rolling 1-day percentage returns over 520 historical windows (2024-08-19 to 2026-09-16). The colored bar indicates the win zone for +5.0%.

-20.1% to -17.3%: 2 occurrences (0.4%) -18.7% -17.3% to -14.5%: 3 occurrences (0.6%) -14.5% to -11.7%: 2 occurrences (0.4%) -11.7% to -8.8%: 3 occurrences (0.6%) -10.2% -8.8% to -6.0%: 9 occurrences (1.7%) -6.0% to -3.2%: 54 occurrences (10.4%) -3.2% to -0.3%: 148 occurrences (28.5%) -1.8% -0.3% to +2.5%: 198 occurrences (38.1%) +2.5% to +5.3%: 74 occurrences (14.2%) +5.3% to +8.1%: 17 occurrences (3.3%) 6.7% +8.1% to +11.0%: 4 occurrences (0.8%) +11.0% to +13.8%: 1 occurrences (0.2%) +13.8% to +16.6%: 3 occurrences (0.6%) 15.2% +16.6% to +19.4%: 0 occurrences (0.0%) +19.4% to +22.3%: 1 occurrences (0.2%) +22.3% to +25.1%: 1 occurrences (0.2%) 23.7%
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) 10.6% 6.0% Model-free reality across 520 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 2.9% Adjusts normal bell curve for real-world skewness (-0.51) and kurtosis (8.43).
Standard Normal (Black-Scholes / GBM) 22.1% 11.1% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 12.7% 6.0% Filters for historical windows that started with volatility similar to current 20-day HV (134 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 63.3%
  • Recent 20-Day HV: 100.9%
  • Parkinson Intraday Volatility: 52.8%
  • Vol Trend: Expanded (+59% vs baseline)

1-Day Return Quantiles

  • Median Return: +0.1%
  • Top 10% Move (90th percentile): +3.8%
  • Bottom 10% Move (10th percentile): -3.8%
  • Max Historical Gain (1d): +25.1%
  • Max Historical Loss (1d): -20.1%