Finance

AMZN Move Probability $245.99 -2.46 (-1.0%)

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)
47.3%
Stock touched +5.0% ($258.29) at least once during 14 trading days.
Median first touch: Day 5 of 14
Expiration Close Probability
29.0%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.63x
You are 1.6x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±7.9%
$226.61 — $265.37

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 507 historical windows (2024-08-19 to 2026-09-16). The colored bar indicates the win zone for +5.0%.

-17.8% to -15.0%: 6 occurrences (1.2%) -16.4% -15.0% to -12.3%: 13 occurrences (2.6%) -12.3% to -9.6%: 22 occurrences (4.3%) -9.6% to -6.9%: 21 occurrences (4.1%) -8.3% -6.9% to -4.2%: 48 occurrences (9.5%) -4.2% to -1.5%: 70 occurrences (13.8%) -1.5% to +1.2%: 84 occurrences (16.6%) -0.1% +1.2% to +3.9%: 74 occurrences (14.6%) +3.9% to +6.7%: 56 occurrences (11.0%) +6.7% to +9.4%: 39 occurrences (7.7%) 8.0% +9.4% to +12.1%: 35 occurrences (6.9%) +12.1% to +14.8%: 16 occurrences (3.2%) +14.8% to +17.5%: 13 occurrences (2.6%) 16.1% +17.5% to +20.2%: 2 occurrences (0.4%) +20.2% to +22.9%: 5 occurrences (1.0%) +22.9% to +25.6%: 3 occurrences (0.6%) 24.3%
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) 47.3% 29.0% Model-free reality across 507 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 13.9% Adjusts normal bell curve for real-world skewness (0.67) and kurtosis (6.38).
Standard Normal (Black-Scholes / GBM) 53.6% 26.8% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 44.2% 26.5% Filters for historical windows that started with volatility similar to current 20-day HV (373 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 33.4%
  • Recent 20-Day HV: 27.2%
  • Parkinson Intraday Volatility: 25.1%
  • Vol Trend: Compressed (-19% vs baseline)

14-Day Return Quantiles

  • Median Return: +1.1%
  • Top 10% Move (90th percentile): +11.2%
  • Bottom 10% Move (10th percentile): -8.7%
  • Max Historical Gain (14d): +25.6%
  • Max Historical Loss (14d): -17.8%