Finance

ANAB Move Probability $48.01 +0.01 (+0.0%)

Real historical back-data analysis: evaluates rolling trading-day windows to determine the probability of a stock touching or closing at your target move.

← Back to ANAB Options chain →
Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
77.6%
Stock touched +5.0% ($50.41) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
50.7%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.53x
You are 1.5x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±21.6%
$37.65 — $58.37

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 509 historical windows (2024-09-23 to 2026-10-22). The colored bar indicates the win zone for +5.0%.

-42.5% to -31.1%: 4 occurrences (0.8%) -36.8% -31.1% to -19.6%: 24 occurrences (4.7%) -19.6% to -8.1%: 68 occurrences (13.4%) -8.1% to +3.4%: 131 occurrences (25.7%) -2.3% +3.4% to +14.9%: 154 occurrences (30.3%) +14.9% to +26.4%: 79 occurrences (15.5%) +26.4% to +37.9%: 20 occurrences (3.9%) 32.1% +37.9% to +49.4%: 13 occurrences (2.6%) +49.4% to +60.9%: 11 occurrences (2.2%) +60.9% to +72.4%: 0 occurrences (0.0%) 66.6% +72.4% to +83.9%: 1 occurrences (0.2%) +83.9% to +95.3%: 1 occurrences (0.2%) +95.3% to +106.8%: 1 occurrences (0.2%) 101.1% +106.8% to +118.3%: 0 occurrences (0.0%) +118.3% to +129.8%: 1 occurrences (0.2%) +129.8% to +141.3%: 1 occurrences (0.2%) 135.6%
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) 77.6% 50.7% Model-free reality across 509 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 1.4% Adjusts normal bell curve for real-world skewness (4.87) and kurtosis (69.71).
Standard Normal (Black-Scholes / GBM) 82.1% 41.1% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 80.3% 54.8% Filters for historical windows that started with volatility similar to current 20-day HV (290 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 91.6%
  • Recent 20-Day HV: 53.4%
  • Parkinson Intraday Volatility: 60.8%
  • Vol Trend: Compressed (-42% vs baseline)

14-Day Return Quantiles

  • Median Return: +5.4%
  • Top 10% Move (90th percentile): +25.3%
  • Bottom 10% Move (10th percentile): -13.6%
  • Max Historical Gain (14d): +141.3%
  • Max Historical Loss (14d): -42.5%