Finance

AMD Move Probability $512.78 +8.53 (+1.7%)

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 AMD Options chain →
Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
72.4%
Stock touched -3.5% ($494.83) at least once during 10 trading days.
Median first touch: Day 2 of 10
Expiration Close Probability
30.7%
Stock closed at or beyond -3.5% at the end of the 10-day window.
The Touch Multiple
2.36x
You are 2.4x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±12.3%
$449.93 — $575.63

Historical 10-Day Return Distribution

Frequency of rolling 10-day percentage returns over 511 historical windows (2024-08-19 to 2026-09-16). The colored bar indicates the win zone for -3.5%.

-31.9% to -27.0%: 1 occurrences (0.2%) -29.4% -27.0% to -22.1%: 2 occurrences (0.4%) -22.1% to -17.2%: 8 occurrences (1.6%) -17.2% to -12.3%: 20 occurrences (3.9%) -14.7% -12.3% to -7.4%: 51 occurrences (10.0%) -7.4% to -2.5%: 102 occurrences (20.0%) -2.5% to +2.4%: 89 occurrences (17.4%) -0.1% +2.4% to +7.3%: 86 occurrences (16.8%) +7.3% to +12.1%: 58 occurrences (11.4%) +12.1% to +17.0%: 32 occurrences (6.3%) 14.6% +17.0% to +21.9%: 22 occurrences (4.3%) +21.9% to +26.8%: 9 occurrences (1.8%) +26.8% to +31.7%: 15 occurrences (2.9%) 29.3% +31.7% to +36.6%: 7 occurrences (1.4%) +36.6% to +41.5%: 4 occurrences (0.8%) +41.5% to +46.4%: 5 occurrences (1.0%) 43.9%
Historical returns Target move zone (-3.5%+) 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) 72.4% 30.7% Model-free reality across 511 historical 10-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 35.7% Adjusts normal bell curve for real-world skewness (0.55) and kurtosis (4.83).
Standard Normal (Black-Scholes / GBM) 77.1% 38.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 70.0% 32.4% Filters for historical windows that started with volatility similar to current 20-day HV (333 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 61.5%
  • Recent 20-Day HV: 47.5%
  • Parkinson Intraday Volatility: 43.3%
  • Vol Trend: Compressed (-23% vs baseline)

10-Day Return Quantiles

  • Median Return: +1.1%
  • Top 10% Move (90th percentile): +18.6%
  • Bottom 10% Move (10th percentile): -9.9%
  • Max Historical Gain (10d): +46.4%
  • Max Historical Loss (10d): -31.9%