Finance

ALVO Move Probability $5.14 +0.00 (+0.1%)

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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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
63.2%
Stock touched +5.0% ($5.40) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
33.7%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.88x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±41.0%
$3.03 — $7.25

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%.

-27.2% to +25.2%: 455 occurrences (89.6%) -1.0% +25.2% to +77.5%: 26 occurrences (5.1%) +77.5% to +129.8%: 13 occurrences (2.6%) +129.8% to +182.1%: 0 occurrences (0.0%) 155.9% +182.1% to +234.4%: 0 occurrences (0.0%) +234.4% to +286.7%: 0 occurrences (0.0%) +286.7% to +339.0%: 0 occurrences (0.0%) 312.9% +339.0% to +391.3%: 0 occurrences (0.0%) +391.3% to +443.6%: 0 occurrences (0.0%) +443.6% to +495.9%: 0 occurrences (0.0%) 469.8% +495.9% to +548.2%: 0 occurrences (0.0%) +548.2% to +600.6%: 0 occurrences (0.0%) +600.6% to +652.9%: 7 occurrences (1.4%) 626.7% +652.9% to +705.2%: 2 occurrences (0.4%) +705.2% to +757.5%: 0 occurrences (0.0%) +757.5% to +809.8%: 5 occurrences (1.0%) 783.6%
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) 63.2% 33.7% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 0.1% Adjusts normal bell curve for real-world skewness (16.51) and kurtosis (319.96).
Standard Normal (Black-Scholes / GBM) 90.5% 45.3% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 76.6% 42.8% Filters for historical windows that started with volatility similar to current 20-day HV (278 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 173.9%
  • Recent 20-Day HV: 66.2%
  • Parkinson Intraday Volatility: 44.1%
  • Vol Trend: Compressed (-62% vs baseline)

14-Day Return Quantiles

  • Median Return: -0.2%
  • Top 10% Move (90th percentile): +26.2%
  • Bottom 10% Move (10th percentile): -13.8%
  • Max Historical Gain (14d): +809.8%
  • Max Historical Loss (14d): -27.2%