Finance

ALTI Move Probability $2.67 +0.00 (+0.0%)

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)
59.8%
Stock touched +5.0% ($2.81) 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
1.92x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±14.2%
$2.29 — $3.06

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%.

-28.6% to -24.4%: 7 occurrences (1.4%) -26.5% -24.4% to -20.1%: 17 occurrences (3.3%) -20.1% to -15.8%: 20 occurrences (3.9%) -15.8% to -11.5%: 44 occurrences (8.7%) -13.7% -11.5% to -7.3%: 58 occurrences (11.4%) -7.3% to -3.0%: 76 occurrences (15.0%) -3.0% to +1.3%: 76 occurrences (15.0%) -0.8% +1.3% to +5.6%: 60 occurrences (11.8%) +5.6% to +9.9%: 48 occurrences (9.4%) +9.9% to +14.1%: 38 occurrences (7.5%) 12.0% +14.1% to +18.4%: 24 occurrences (4.7%) +18.4% to +22.7%: 17 occurrences (3.3%) +22.7% to +27.0%: 16 occurrences (3.1%) 24.8% +27.0% to +31.3%: 4 occurrences (0.8%) +31.3% to +35.5%: 2 occurrences (0.4%) +35.5% to +39.8%: 1 occurrences (0.2%) 37.7%
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) 59.8% 31.1% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 26.7% Adjusts normal bell curve for real-world skewness (0.11) and kurtosis (6.4).
Standard Normal (Black-Scholes / GBM) 73.2% 36.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 62.1% 31.5% Filters for historical windows that started with volatility similar to current 20-day HV (298 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 60.3%
  • Recent 20-Day HV: 66.5%
  • Parkinson Intraday Volatility: 46.5%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: -1.2%
  • Top 10% Move (90th percentile): +16.6%
  • Bottom 10% Move (10th percentile): -15.0%
  • Max Historical Gain (14d): +39.8%
  • Max Historical Loss (14d): -28.6%