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.

← Back to ALT Options chain →
Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
21.1%
Stock touched +5.0% ($2.34) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
10.9%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
1.93x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±5.6%
$2.10 — $2.36

Historical 1-Day Return Distribution

Frequency of rolling 1-day percentage returns over 521 historical windows (2024-09-23 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-53.2% to -48.1%: 1 occurrences (0.2%) -50.7% -48.1% to -43.0%: 0 occurrences (0.0%) -43.0% to -37.9%: 0 occurrences (0.0%) -37.9% to -32.8%: 0 occurrences (0.0%) -35.3% -32.8% to -27.7%: 0 occurrences (0.0%) -27.7% to -22.5%: 1 occurrences (0.2%) -22.5% to -17.4%: 1 occurrences (0.2%) -20.0% -17.4% to -12.3%: 2 occurrences (0.4%) -12.3% to -7.2%: 9 occurrences (1.7%) -7.2% to -2.1%: 133 occurrences (25.5%) -4.6% -2.1% to +3.0%: 272 occurrences (52.2%) +3.0% to +8.2%: 81 occurrences (15.5%) +8.2% to +13.3%: 15 occurrences (2.9%) 10.7% +13.3% to +18.4%: 5 occurrences (1.0%) +18.4% to +23.5%: 0 occurrences (0.0%) +23.5% to +28.6%: 1 occurrences (0.2%) 26.1%
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) 21.1% 10.9% Model-free reality across 521 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 0.0% Adjusts normal bell curve for real-world skewness (-4.68) and kurtosis (64.58).
Standard Normal (Black-Scholes / GBM) 38.4% 19.2% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 15.7% 8.0% Filters for historical windows that started with volatility similar to current 20-day HV (249 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)

1-Day Return Quantiles

  • Median Return: -0.5%
  • Top 10% Move (90th percentile): +5.3%
  • Bottom 10% Move (10th percentile): -4.8%
  • Max Historical Gain (1d): +28.6%
  • Max Historical Loss (1d): -53.2%