Finance

AMRC Move Probability $19.84 +1.08 (+5.8%)

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)
65.7%
Stock touched +5.0% ($20.83) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
36.8%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.79x
You are 1.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±19.7%
$15.93 — $23.75

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%.

-51.8% to -45.1%: 8 occurrences (1.6%) -48.4% -45.1% to -38.4%: 3 occurrences (0.6%) -38.4% to -31.7%: 2 occurrences (0.4%) -31.7% to -25.1%: 5 occurrences (1.0%) -28.4% -25.1% to -18.4%: 46 occurrences (9.1%) -18.4% to -11.7%: 70 occurrences (13.8%) -11.7% to -5.0%: 83 occurrences (16.3%) -8.4% -5.0% to +1.6%: 58 occurrences (11.4%) +1.6% to +8.3%: 77 occurrences (15.2%) +8.3% to +15.0%: 60 occurrences (11.8%) 11.7% +15.0% to +21.7%: 34 occurrences (6.7%) +21.7% to +28.4%: 28 occurrences (5.5%) +28.4% to +35.0%: 19 occurrences (3.7%) 31.7% +35.0% to +41.7%: 8 occurrences (1.6%) +41.7% to +48.4%: 4 occurrences (0.8%) +48.4% to +55.1%: 3 occurrences (0.6%) 51.7%
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) 65.7% 36.8% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 23.9% Adjusts normal bell curve for real-world skewness (-0.18) and kurtosis (16.15).
Standard Normal (Black-Scholes / GBM) 80.4% 40.2% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 70.3% 39.9% Filters for historical windows that started with volatility similar to current 20-day HV (276 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 83.6%
  • Recent 20-Day HV: 52.5%
  • Parkinson Intraday Volatility: 55.5%
  • Vol Trend: Compressed (-37% vs baseline)

14-Day Return Quantiles

  • Median Return: -0.7%
  • Top 10% Move (90th percentile): +23.3%
  • Bottom 10% Move (10th percentile): -20.0%
  • Max Historical Gain (14d): +55.1%
  • Max Historical Loss (14d): -51.8%