Finance

ALL Move Probability $251.01 +1.16 (+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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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
40.2%
Stock touched +5.0% ($263.56) at least once during 14 trading days.
Median first touch: Day 7 of 14
Expiration Close Probability
22.0%
Stock closed at or beyond +5.0% at the end of the 14-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%)
±6.1%
$235.65 — $266.37

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%.

-13.7% to -11.9%: 8 occurrences (1.6%) -12.8% -11.9% to -10.1%: 8 occurrences (1.6%) -10.1% to -8.3%: 9 occurrences (1.8%) -8.3% to -6.5%: 20 occurrences (3.9%) -7.4% -6.5% to -4.7%: 33 occurrences (6.5%) -4.7% to -2.9%: 43 occurrences (8.5%) -2.9% to -1.0%: 65 occurrences (12.8%) -2.0% -1.0% to +0.8%: 63 occurrences (12.4%) +0.8% to +2.6%: 58 occurrences (11.4%) +2.6% to +4.4%: 70 occurrences (13.8%) 3.5% +4.4% to +6.2%: 51 occurrences (10.0%) +6.2% to +8.0%: 30 occurrences (5.9%) +8.0% to +9.8%: 25 occurrences (4.9%) 8.9% +9.8% to +11.6%: 12 occurrences (2.4%) +11.6% to +13.4%: 10 occurrences (2.0%) +13.4% to +15.2%: 3 occurrences (0.6%) 14.3%
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) 40.2% 22.0% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 16.6% Adjusts normal bell curve for real-world skewness (-0.53) and kurtosis (2.92).
Standard Normal (Black-Scholes / GBM) 42.5% 21.3% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 40.3% 23.4% Filters for historical windows that started with volatility similar to current 20-day HV (320 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 26.0%
  • Recent 20-Day HV: 19.6%
  • Parkinson Intraday Volatility: 20.1%
  • Vol Trend: Compressed (-24% vs baseline)

14-Day Return Quantiles

  • Median Return: +1.0%
  • Top 10% Move (90th percentile): +7.9%
  • Bottom 10% Move (10th percentile): -6.1%
  • Max Historical Gain (14d): +15.2%
  • Max Historical Loss (14d): -13.7%