Finance

ARLO Move Probability $12.15 -0.36 (-2.9%)

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)
61.2%
Stock touched +5.0% ($12.76) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
27.6%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.22x
You are 2.2x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±12.2%
$10.67 — $13.63

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 508 historical windows (2024-09-23 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-33.3% to -28.3%: 5 occurrences (1.0%) -30.8% -28.3% to -23.3%: 3 occurrences (0.6%) -23.3% to -18.3%: 5 occurrences (1.0%) -18.3% to -13.3%: 23 occurrences (4.5%) -15.8% -13.3% to -8.4%: 54 occurrences (10.6%) -8.4% to -3.4%: 92 occurrences (18.1%) -3.4% to +1.6%: 117 occurrences (23.0%) -0.9% +1.6% to +6.6%: 94 occurrences (18.5%) +6.6% to +11.6%: 39 occurrences (7.7%) +11.6% to +16.6%: 33 occurrences (6.5%) 14.1% +16.6% to +21.6%: 11 occurrences (2.2%) +21.6% to +26.5%: 11 occurrences (2.2%) +26.5% to +31.5%: 11 occurrences (2.2%) 29.0% +31.5% to +36.5%: 2 occurrences (0.4%) +36.5% to +41.5%: 6 occurrences (1.2%) +41.5% to +46.5%: 2 occurrences (0.4%) 44.0%
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) 61.2% 27.6% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 17.2% Adjusts normal bell curve for real-world skewness (0.8) and kurtosis (9.88).
Standard Normal (Black-Scholes / GBM) 69.0% 34.5% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 63.4% 26.4% Filters for historical windows that started with volatility similar to current 20-day HV (383 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 51.8%
  • Recent 20-Day HV: 43.4%
  • Parkinson Intraday Volatility: 41.6%
  • Vol Trend: Compressed (-16% vs baseline)

14-Day Return Quantiles

  • Median Return: -0.7%
  • Top 10% Move (90th percentile): +15.2%
  • Bottom 10% Move (10th percentile): -11.1%
  • Max Historical Gain (14d): +46.5%
  • Max Historical Loss (14d): -33.3%