Finance

AMN Move Probability $43.03 +1.44 (+3.4%)

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)
66.7%
Stock touched +5.0% ($45.18) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
32.3%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.07x
You are 2.1x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±14.6%
$36.73 — $49.33

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%.

-40.7% to -34.9%: 6 occurrences (1.2%) -37.8% -34.9% to -29.1%: 7 occurrences (1.4%) -29.1% to -23.3%: 7 occurrences (1.4%) -23.3% to -17.5%: 16 occurrences (3.1%) -20.4% -17.5% to -11.7%: 36 occurrences (7.1%) -11.7% to -5.9%: 67 occurrences (13.2%) -5.9% to -0.0%: 103 occurrences (20.3%) -3.0% -0.0% to +5.8%: 109 occurrences (21.5%) +5.8% to +11.6%: 74 occurrences (14.6%) +11.6% to +17.4%: 38 occurrences (7.5%) 14.5% +17.4% to +23.2%: 17 occurrences (3.3%) +23.2% to +29.0%: 10 occurrences (2.0%) +29.0% to +34.8%: 6 occurrences (1.2%) 31.9% +34.8% to +40.6%: 7 occurrences (1.4%) +40.6% to +46.5%: 3 occurrences (0.6%) +46.5% to +52.3%: 2 occurrences (0.4%) 49.4%
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) 66.7% 32.3% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 16.2% Adjusts normal bell curve for real-world skewness (-0.32) and kurtosis (17.52).
Standard Normal (Black-Scholes / GBM) 73.9% 37.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 69.0% 42.3% Filters for historical windows that started with volatility similar to current 20-day HV (142 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 62.1%
  • Recent 20-Day HV: 32.0%
  • Parkinson Intraday Volatility: 48.5%
  • Vol Trend: Compressed (-48% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.5%
  • Top 10% Move (90th percentile): +16.2%
  • Bottom 10% Move (10th percentile): -15.2%
  • Max Historical Gain (14d): +52.3%
  • Max Historical Loss (14d): -40.7%