Finance

ALLE Move Probability $176.31 +17.68 (+11.1%)

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)
30.1%
Stock touched +5.0% ($185.13) at least once during 14 trading days.
Median first touch: Day 8 of 14
Expiration Close Probability
16.7%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.80x
You are 1.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±6.4%
$165.09 — $187.53

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 509 historical windows (2024-09-23 to 2026-10-22). The colored bar indicates the win zone for +5.0%.

-16.2% to -13.7%: 3 occurrences (0.6%) -14.9% -13.7% to -11.3%: 4 occurrences (0.8%) -11.3% to -8.8%: 11 occurrences (2.2%) -8.8% to -6.4%: 33 occurrences (6.5%) -7.6% -6.4% to -3.9%: 59 occurrences (11.6%) -3.9% to -1.5%: 89 occurrences (17.5%) -1.5% to +1.0%: 104 occurrences (20.4%) -0.3% +1.0% to +3.4%: 83 occurrences (16.3%) +3.4% to +5.8%: 46 occurrences (9.0%) +5.8% to +8.3%: 29 occurrences (5.7%) 7.1% +8.3% to +10.7%: 18 occurrences (3.5%) +10.7% to +13.2%: 10 occurrences (2.0%) +13.2% to +15.6%: 10 occurrences (2.0%) 14.4% +15.6% to +18.1%: 2 occurrences (0.4%) +18.1% to +20.5%: 3 occurrences (0.6%) +20.5% to +23.0%: 5 occurrences (1.0%) 21.7%
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) 30.1% 16.7% Model-free reality across 509 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 6.9% Adjusts normal bell curve for real-world skewness (0.66) and kurtosis (9.2).
Standard Normal (Black-Scholes / GBM) 44.3% 22.2% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 32.7% 20.4% Filters for historical windows that started with volatility similar to current 20-day HV (147 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 27.0%
  • Recent 20-Day HV: 43.4%
  • Parkinson Intraday Volatility: 19.2%
  • Vol Trend: Expanded (+61% vs baseline)

14-Day Return Quantiles

  • Median Return: -0.2%
  • Top 10% Move (90th percentile): +7.7%
  • Bottom 10% Move (10th percentile): -6.3%
  • Max Historical Gain (14d): +23.0%
  • Max Historical Loss (14d): -16.2%