Finance

ALT Move Probability $2.23 -0.06 (-2.6%)

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)
76.2%
Stock touched +5.0% ($2.34) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
31.1%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.45x
You are 2.5x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±21.0%
$1.76 — $2.70

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%.

-45.8% to -39.5%: 3 occurrences (0.6%) -42.7% -39.5% to -33.1%: 14 occurrences (2.8%) -33.1% to -26.7%: 7 occurrences (1.4%) -26.7% to -20.3%: 32 occurrences (6.3%) -23.5% -20.3% to -13.9%: 51 occurrences (10.0%) -13.9% to -7.5%: 70 occurrences (13.8%) -7.5% to -1.1%: 78 occurrences (15.4%) -4.3% -1.1% to +5.3%: 99 occurrences (19.5%) +5.3% to +11.7%: 66 occurrences (13.0%) +11.7% to +18.1%: 30 occurrences (5.9%) 14.9% +18.1% to +24.5%: 26 occurrences (5.1%) +24.5% to +30.9%: 13 occurrences (2.6%) +30.9% to +37.3%: 9 occurrences (1.8%) 34.1% +37.3% to +43.7%: 7 occurrences (1.4%) +43.7% to +50.1%: 1 occurrences (0.2%) +50.1% to +56.5%: 2 occurrences (0.4%) 53.3%
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) 76.2% 31.1% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 25.9% Adjusts normal bell curve for real-world skewness (-4.68) and kurtosis (64.58).
Standard Normal (Black-Scholes / GBM) 81.6% 40.8% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 79.7% 32.6% Filters for historical windows that started with volatility similar to current 20-day HV (236 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 89.0%
  • Recent 20-Day HV: 46.1%
  • Parkinson Intraday Volatility: 63.7%
  • Vol Trend: Compressed (-48% vs baseline)

14-Day Return Quantiles

  • Median Return: -1.1%
  • Top 10% Move (90th percentile): +19.7%
  • Bottom 10% Move (10th percentile): -21.7%
  • Max Historical Gain (14d): +56.5%
  • Max Historical Loss (14d): -45.8%