AREB Move Probability $0.13 -0.03 (-19.3%)
Real historical back-data analysis: evaluates rolling trading-day windows to determine the probability of a stock touching or closing at your target move.
Touch Probability (First Passage)
49.9%
Stock touched +5.0% ($0.14) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
12.8%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
3.89x
You are 3.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±110.3%
$0.00 — $0.27
Historical 14-Day Return Distribution
Frequency of rolling 14-day percentage returns over 507 historical windows (2024-09-23 to 2026-10-20). The colored bar indicates the win zone for +5.0%.
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) | 49.9% | 12.8% | Model-free reality across 507 historical 14-day windows. |
| Fat-Tail Adjusted (Cornish-Fisher) | — | 56.3% | Adjusts normal bell curve for real-world skewness (-4.77) and kurtosis (132.4). |
| Standard Normal (Black-Scholes / GBM) | 96.5% | 48.2% | Classic theoretical log-normal model with constant volatility (often underestimates tail risks). |
| Regime-Conditioned (Similar Volatility) | 3.7% | 3.7% | Filters for historical windows that started with volatility similar to current 20-day HV (81 matching periods). |
Underlying Volatility Profile
Volatility Metrics
- 1-Year Annualized HV: 467.9%
- Recent 20-Day HV: 0.0%
- Parkinson Intraday Volatility: 179.6%
- Vol Trend: Compressed (-100% vs baseline)
14-Day Return Quantiles
- Median Return: -14.5%
- Top 10% Move (90th percentile): +13.2%
- Bottom 10% Move (10th percentile): -76.3%
- Max Historical Gain (14d): +7368.4%
- Max Historical Loss (14d): -99.6%