Finance

ALRM Move Probability $59.58 +0.86 (+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)
37.0%
Stock touched +5.0% ($62.56) at least once during 14 trading days.
Median first touch: Day 6 of 14
Expiration Close Probability
22.2%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.66x
You are 1.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±7.0%
$55.41 — $63.75

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%.

-16.3% to -13.9%: 3 occurrences (0.6%) -15.1% -13.9% to -11.4%: 9 occurrences (1.8%) -11.4% to -9.0%: 20 occurrences (3.9%) -9.0% to -6.5%: 37 occurrences (7.3%) -7.8% -6.5% to -4.1%: 54 occurrences (10.6%) -4.1% to -1.6%: 84 occurrences (16.5%) -1.6% to +0.8%: 86 occurrences (16.9%) -0.4% +0.8% to +3.3%: 66 occurrences (13.0%) +3.3% to +5.7%: 49 occurrences (9.6%) +5.7% to +8.2%: 40 occurrences (7.9%) 6.9% +8.2% to +10.6%: 25 occurrences (4.9%) +10.6% to +13.1%: 13 occurrences (2.6%) +13.1% to +15.5%: 12 occurrences (2.4%) 14.3% +15.5% to +18.0%: 5 occurrences (1.0%) +18.0% to +20.4%: 3 occurrences (0.6%) +20.4% to +22.9%: 2 occurrences (0.4%) 21.6%
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) 37.0% 22.2% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 16.2% Adjusts normal bell curve for real-world skewness (0.25) and kurtosis (3.72).
Standard Normal (Black-Scholes / GBM) 48.6% 24.3% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 25.4% 20.3% Filters for historical windows that started with volatility similar to current 20-day HV (177 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 29.7%
  • Recent 20-Day HV: 17.8%
  • Parkinson Intraday Volatility: 21.8%
  • Vol Trend: Compressed (-40% vs baseline)

14-Day Return Quantiles

  • Median Return: -0.4%
  • Top 10% Move (90th percentile): +9.2%
  • Bottom 10% Move (10th percentile): -7.3%
  • Max Historical Gain (14d): +22.9%
  • Max Historical Loss (14d): -16.3%