Finance

ARM Move Probability $226.62 +5.64 (+2.6%)

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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Touch Probability (First Passage)
76.6%
Stock touched +5.0% ($237.95) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
38.8%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.97x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±16.5%
$189.28 — $263.96

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%.

-31.5% to -23.7%: 16 occurrences (3.1%) -27.6% -23.7% to -15.8%: 48 occurrences (9.4%) -15.8% to -8.0%: 66 occurrences (13.0%) -8.0% to -0.2%: 105 occurrences (20.7%) -4.1% -0.2% to +7.6%: 105 occurrences (20.7%) +7.6% to +15.5%: 67 occurrences (13.2%) +15.5% to +23.3%: 49 occurrences (9.6%) 19.4% +23.3% to +31.1%: 25 occurrences (4.9%) +31.1% to +39.0%: 8 occurrences (1.6%) +39.0% to +46.8%: 7 occurrences (1.4%) 42.9% +46.8% to +54.6%: 3 occurrences (0.6%) +54.6% to +62.4%: 3 occurrences (0.6%) +62.4% to +70.3%: 2 occurrences (0.4%) 66.4% +70.3% to +78.1%: 1 occurrences (0.2%) +78.1% to +85.9%: 0 occurrences (0.0%) +85.9% to +93.8%: 3 occurrences (0.6%) 89.8%
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) 76.6% 38.8% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 32.2% Adjusts normal bell curve for real-world skewness (0.55) and kurtosis (2.6).
Standard Normal (Black-Scholes / GBM) 76.7% 38.4% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 74.6% 43.5% Filters for historical windows that started with volatility similar to current 20-day HV (283 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 69.9%
  • Recent 20-Day HV: 66.0%
  • Parkinson Intraday Volatility: 52.7%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: +1.3%
  • Top 10% Move (90th percentile): +23.9%
  • Bottom 10% Move (10th percentile): -18.0%
  • Max Historical Gain (14d): +93.8%
  • Max Historical Loss (14d): -31.5%