Finance

APP Move Probability $267.93 -4.48 (-1.6%)

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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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
21.1%
Stock touched +5.0% ($281.33) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
12.7%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
1.67x
You are 1.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±5.2%
$254.12 — $281.74

Historical 1-Day Return Distribution

Frequency of rolling 1-day percentage returns over 521 historical windows (2024-09-23 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-20.2% to -16.0%: 7 occurrences (1.3%) -18.1% -16.0% to -11.9%: 5 occurrences (1.0%) -11.9% to -7.7%: 9 occurrences (1.7%) -7.7% to -3.6%: 59 occurrences (11.3%) -5.6% -3.6% to +0.6%: 192 occurrences (36.9%) +0.6% to +4.8%: 178 occurrences (34.2%) +4.8% to +8.9%: 58 occurrences (11.1%) 6.8% +8.9% to +13.1%: 8 occurrences (1.5%) +13.1% to +17.2%: 2 occurrences (0.4%) +17.2% to +21.4%: 1 occurrences (0.2%) 19.3% +21.4% to +25.6%: 1 occurrences (0.2%) +25.6% to +29.7%: 0 occurrences (0.0%) +29.7% to +33.9%: 0 occurrences (0.0%) 31.8% +33.9% to +38.0%: 0 occurrences (0.0%) +38.0% to +42.2%: 0 occurrences (0.0%) +42.2% to +46.3%: 1 occurrences (0.2%) 44.3%
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) 21.1% 12.7% Model-free reality across 521 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 4.9% Adjusts normal bell curve for real-world skewness (0.03) and kurtosis (8.51).
Standard Normal (Black-Scholes / GBM) 34.4% 17.2% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 18.8% 10.6% Filters for historical windows that started with volatility similar to current 20-day HV (218 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 81.8%
  • Recent 20-Day HV: 46.4%
  • Parkinson Intraday Volatility: 61.4%
  • Vol Trend: Compressed (-43% vs baseline)

1-Day Return Quantiles

  • Median Return: +0.3%
  • Top 10% Move (90th percentile): +5.7%
  • Bottom 10% Move (10th percentile): -4.7%
  • Max Historical Gain (1d): +46.3%
  • Max Historical Loss (1d): -20.2%