Finance

AMG Move Probability $394.00 +5.41 (+1.4%)

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)
56.7%
Stock touched +5.0% ($413.70) at least once during 14 trading days.
Median first touch: Day 6 of 14
Expiration Close Probability
31.3%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.81x
You are 1.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±7.4%
$364.68 — $423.32

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%.

-16.0% to -13.8%: 2 occurrences (0.4%) -14.9% -13.8% to -11.7%: 6 occurrences (1.2%) -11.7% to -9.6%: 10 occurrences (2.0%) -9.6% to -7.5%: 20 occurrences (3.9%) -8.5% -7.5% to -5.3%: 23 occurrences (4.5%) -5.3% to -3.2%: 24 occurrences (4.7%) -3.2% to -1.1%: 41 occurrences (8.1%) -2.1% -1.1% to +1.1%: 84 occurrences (16.5%) +1.1% to +3.2%: 77 occurrences (15.2%) +3.2% to +5.3%: 70 occurrences (13.8%) 4.2% +5.3% to +7.4%: 51 occurrences (10.0%) +7.4% to +9.6%: 44 occurrences (8.7%) +9.6% to +11.7%: 26 occurrences (5.1%) 10.6% +11.7% to +13.8%: 15 occurrences (3.0%) +13.8% to +16.0%: 7 occurrences (1.4%) +16.0% to +18.1%: 8 occurrences (1.6%) 17.0%
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) 56.7% 31.3% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 15.6% Adjusts normal bell curve for real-world skewness (-0.32) and kurtosis (5.57).
Standard Normal (Black-Scholes / GBM) 51.2% 25.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 56.7% 31.9% Filters for historical windows that started with volatility similar to current 20-day HV (282 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 31.6%
  • Recent 20-Day HV: 22.5%
  • Parkinson Intraday Volatility: 24.1%
  • Vol Trend: Compressed (-29% vs baseline)

14-Day Return Quantiles

  • Median Return: +2.3%
  • Top 10% Move (90th percentile): +9.9%
  • Bottom 10% Move (10th percentile): -6.3%
  • Max Historical Gain (14d): +18.1%
  • Max Historical Loss (14d): -16.0%