Finance

AMC Move Probability $3.03 -0.05 (-1.5%)

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 AMC Options chain →
Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
18.2%
Stock touched +5.0% ($3.18) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
9.4%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
1.94x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±4.3%
$2.90 — $3.16

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%.

-24.7% to -21.5%: 1 occurrences (0.2%) -23.1% -21.5% to -18.3%: 0 occurrences (0.0%) -18.3% to -15.0%: 0 occurrences (0.0%) -15.0% to -11.8%: 1 occurrences (0.2%) -13.4% -11.8% to -8.6%: 7 occurrences (1.3%) -8.6% to -5.4%: 22 occurrences (4.2%) -5.4% to -2.1%: 113 occurrences (21.7%) -3.7% -2.1% to +1.1%: 208 occurrences (39.9%) +1.1% to +4.3%: 112 occurrences (21.5%) +4.3% to +7.6%: 32 occurrences (6.1%) 6.0% +7.6% to +10.8%: 14 occurrences (2.7%) +10.8% to +14.0%: 6 occurrences (1.2%) +14.0% to +17.3%: 2 occurrences (0.4%) 15.6% +17.3% to +20.5%: 0 occurrences (0.0%) +20.5% to +23.7%: 1 occurrences (0.2%) +23.7% to +26.9%: 2 occurrences (0.4%) 25.3%
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) 18.2% 9.4% Model-free reality across 521 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 4.9% Adjusts normal bell curve for real-world skewness (0.43) and kurtosis (6.98).
Standard Normal (Black-Scholes / GBM) 26.0% 13.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 17.4% 9.1% Filters for historical windows that started with volatility similar to current 20-day HV (264 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 68.8%
  • Recent 20-Day HV: 71.1%
  • Parkinson Intraday Volatility: 59.0%
  • Vol Trend: Normal / Consistent

1-Day Return Quantiles

  • Median Return: -0.4%
  • Top 10% Move (90th percentile): +4.6%
  • Bottom 10% Move (10th percentile): -4.6%
  • Max Historical Gain (1d): +26.9%
  • Max Historical Loss (1d): -24.7%