Finance

AMAT Move Probability $481.63 -15.94 (-3.2%)

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)
69.1%
Stock touched +5.0% ($505.71) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
41.3%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.67x
You are 1.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±12.4%
$421.75 — $541.51

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 508 historical windows (2024-09-13 to 2026-10-13). The colored bar indicates the win zone for +5.0%.

-25.8% to -21.4%: 3 occurrences (0.6%) -23.6% -21.4% to -17.0%: 5 occurrences (1.0%) -17.0% to -12.6%: 27 occurrences (5.3%) -12.6% to -8.2%: 44 occurrences (8.7%) -10.4% -8.2% to -3.7%: 68 occurrences (13.4%) -3.7% to +0.7%: 80 occurrences (15.7%) +0.7% to +5.1%: 73 occurrences (14.4%) 2.9% +5.1% to +9.5%: 70 occurrences (13.8%) +9.5% to +13.9%: 45 occurrences (8.9%) +13.9% to +18.3%: 41 occurrences (8.1%) 16.1% +18.3% to +22.8%: 20 occurrences (3.9%) +22.8% to +27.2%: 10 occurrences (2.0%) +27.2% to +31.6%: 13 occurrences (2.6%) 29.4% +31.6% to +36.0%: 4 occurrences (0.8%) +36.0% to +40.4%: 3 occurrences (0.6%) +40.4% to +44.8%: 2 occurrences (0.4%) 42.6%
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) 69.1% 41.3% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 30.5% Adjusts normal bell curve for real-world skewness (-0.13) and kurtosis (2.9).
Standard Normal (Black-Scholes / GBM) 69.5% 34.7% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 68.3% 44.5% Filters for historical windows that started with volatility similar to current 20-day HV (353 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 52.7%
  • Recent 20-Day HV: 42.0%
  • Parkinson Intraday Volatility: 36.8%
  • Vol Trend: Compressed (-20% vs baseline)

14-Day Return Quantiles

  • Median Return: +2.3%
  • Top 10% Move (90th percentile): +18.7%
  • Bottom 10% Move (10th percentile): -10.6%
  • Max Historical Gain (14d): +44.8%
  • Max Historical Loss (14d): -25.8%