Finance

AMPH Move Probability $26.24 +0.29 (+1.1%)

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)
58.9%
Stock touched +5.0% ($27.55) at least once during 14 trading days.
Median first touch: Day 5 of 14
Expiration Close Probability
30.5%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.93x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±11.4%
$23.25 — $29.23

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%.

-36.2% to -31.1%: 6 occurrences (1.2%) -33.7% -31.1% to -26.0%: 7 occurrences (1.4%) -26.0% to -20.9%: 3 occurrences (0.6%) -20.9% to -15.8%: 25 occurrences (4.9%) -18.3% -15.8% to -10.7%: 59 occurrences (11.6%) -10.7% to -5.5%: 61 occurrences (12.0%) -5.5% to -0.4%: 102 occurrences (20.1%) -3.0% -0.4% to +4.7%: 82 occurrences (16.1%) +4.7% to +9.8%: 107 occurrences (21.1%) +9.8% to +14.9%: 34 occurrences (6.7%) 12.4% +14.9% to +20.1%: 7 occurrences (1.4%) +20.1% to +25.2%: 1 occurrences (0.2%) +25.2% to +30.3%: 2 occurrences (0.4%) 27.7% +30.3% to +35.4%: 3 occurrences (0.6%) +35.4% to +40.5%: 4 occurrences (0.8%) +40.5% to +45.7%: 5 occurrences (1.0%) 43.1%
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) 58.9% 30.5% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 19.5% Adjusts normal bell curve for real-world skewness (-2.08) and kurtosis (18.99).
Standard Normal (Black-Scholes / GBM) 66.8% 33.4% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 60.9% 29.7% 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: 48.3%
  • Recent 20-Day HV: 36.6%
  • Parkinson Intraday Volatility: 32.8%
  • Vol Trend: Compressed (-24% vs baseline)

14-Day Return Quantiles

  • Median Return: -0.9%
  • Top 10% Move (90th percentile): +10.3%
  • Bottom 10% Move (10th percentile): -14.2%
  • Max Historical Gain (14d): +45.7%
  • Max Historical Loss (14d): -36.2%