Finance

ALXO Move Probability $1.15 -0.10 (-8.0%)

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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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
73.6%
Stock touched +5.0% ($1.21) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
33.1%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.23x
You are 2.2x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±24.7%
$0.87 — $1.43

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%.

-46.9% to -37.3%: 4 occurrences (0.8%) -42.1% -37.3% to -27.7%: 36 occurrences (7.1%) -27.7% to -18.1%: 69 occurrences (13.6%) -18.1% to -8.6%: 93 occurrences (18.3%) -13.3% -8.6% to +1.0%: 104 occurrences (20.5%) +1.0% to +10.6%: 58 occurrences (11.4%) +10.6% to +20.2%: 45 occurrences (8.9%) 15.4% +20.2% to +29.8%: 32 occurrences (6.3%) +29.8% to +39.4%: 19 occurrences (3.7%) +39.4% to +49.0%: 14 occurrences (2.8%) 44.2% +49.0% to +58.6%: 7 occurrences (1.4%) +58.6% to +68.2%: 7 occurrences (1.4%) +68.2% to +77.8%: 11 occurrences (2.2%) 73.0% +77.8% to +87.4%: 4 occurrences (0.8%) +87.4% to +97.0%: 2 occurrences (0.4%) +97.0% to +106.6%: 3 occurrences (0.6%) 101.8%
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) 73.6% 33.1% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 36.7% Adjusts normal bell curve for real-world skewness (0.5) and kurtosis (2.92).
Standard Normal (Black-Scholes / GBM) 84.4% 42.2% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 74.6% 28.2% Filters for historical windows that started with volatility similar to current 20-day HV (248 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 105.0%
  • Recent 20-Day HV: 138.4%
  • Parkinson Intraday Volatility: 82.0%
  • Vol Trend: Expanded (+32% vs baseline)

14-Day Return Quantiles

  • Median Return: -3.2%
  • Top 10% Move (90th percentile): +38.8%
  • Bottom 10% Move (10th percentile): -25.2%
  • Max Historical Gain (14d): +106.6%
  • Max Historical Loss (14d): -46.9%