Finance

APT Move Probability $5.44 -0.13 (-2.3%)

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)
3.6%
Stock touched +5.0% ($5.71) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
2.1%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
1.73x
You are 1.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±2.5%
$5.31 — $5.57

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%.

-9.7% to -7.1%: 3 occurrences (0.6%) -8.4% -7.1% to -4.5%: 8 occurrences (1.5%) -4.5% to -1.9%: 61 occurrences (11.7%) -1.9% to +0.6%: 307 occurrences (58.9%) -0.6% +0.6% to +3.2%: 111 occurrences (21.3%) +3.2% to +5.8%: 23 occurrences (4.4%) +5.8% to +8.4%: 4 occurrences (0.8%) 7.1% +8.4% to +10.9%: 2 occurrences (0.4%) +10.9% to +13.5%: 1 occurrences (0.2%) +13.5% to +16.1%: 0 occurrences (0.0%) 14.8% +16.1% to +18.6%: 0 occurrences (0.0%) +18.6% to +21.2%: 0 occurrences (0.0%) +21.2% to +23.8%: 0 occurrences (0.0%) 22.5% +23.8% to +26.4%: 0 occurrences (0.0%) +26.4% to +28.9%: 0 occurrences (0.0%) +28.9% to +31.5%: 1 occurrences (0.2%) 30.2%
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) 3.6% 2.1% Model-free reality across 521 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 75.7% Adjusts normal bell curve for real-world skewness (2.78) and kurtosis (32.06).
Standard Normal (Black-Scholes / GBM) 4.6% 2.3% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 2.1% 1.5% Filters for historical windows that started with volatility similar to current 20-day HV (194 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 38.9%
  • Recent 20-Day HV: 51.2%
  • Parkinson Intraday Volatility: 21.3%
  • Vol Trend: Expanded (+32% vs baseline)

1-Day Return Quantiles

  • Median Return: +0.0%
  • Top 10% Move (90th percentile): +2.2%
  • Bottom 10% Move (10th percentile): -2.3%
  • Max Historical Gain (1d): +31.5%
  • Max Historical Loss (1d): -9.7%