Finance

ARL Move Probability $15.65 +0.09 (+0.6%)

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)
33.1%
Stock touched +5.0% ($16.43) at least once during 14 trading days.
Median first touch: Day 7 of 14
Expiration Close Probability
28.4%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.17x
You are 1.2x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±10.6%
$13.99 — $17.31

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%.

-35.1% to -29.6%: 6 occurrences (1.2%) -32.3% -29.6% to -24.2%: 2 occurrences (0.4%) -24.2% to -18.8%: 5 occurrences (1.0%) -18.8% to -13.4%: 52 occurrences (10.3%) -16.1% -13.4% to -7.9%: 42 occurrences (8.3%) -7.9% to -2.5%: 69 occurrences (13.6%) -2.5% to +2.9%: 155 occurrences (30.6%) 0.2% +2.9% to +8.3%: 78 occurrences (15.4%) +8.3% to +13.8%: 51 occurrences (10.1%) +13.8% to +19.2%: 26 occurrences (5.1%) 16.5% +19.2% to +24.6%: 0 occurrences (0.0%) +24.6% to +30.0%: 10 occurrences (2.0%) +30.0% to +35.5%: 2 occurrences (0.4%) 32.8% +35.5% to +40.9%: 4 occurrences (0.8%) +40.9% to +46.3%: 3 occurrences (0.6%) +46.3% to +51.7%: 2 occurrences (0.4%) 49.0%
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) 33.1% 28.4% Model-free reality across 507 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 5.6% Adjusts normal bell curve for real-world skewness (-0.05) and kurtosis (21.26).
Standard Normal (Black-Scholes / GBM) 64.5% 32.2% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 0.0% 0.0% Filters for historical windows that started with volatility similar to current 20-day HV (27 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 44.9%
  • Recent 20-Day HV: 10.4%
  • Parkinson Intraday Volatility: 6.6%
  • Vol Trend: Compressed (-77% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.0%
  • Top 10% Move (90th percentile): +10.3%
  • Bottom 10% Move (10th percentile): -13.6%
  • Max Historical Gain (14d): +51.7%
  • Max Historical Loss (14d): -35.1%