Finance

ASC Move Probability $19.61 +0.74 (+3.9%)

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)
67.3%
Stock touched +5.0% ($20.60) at least once during 14 trading days.
Median first touch: Day 5 of 14
Expiration Close Probability
37.4%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.80x
You are 1.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±9.3%
$17.80 — $21.43

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%.

-26.6% to -23.2%: 2 occurrences (0.4%) -24.9% -23.2% to -19.8%: 8 occurrences (1.6%) -19.8% to -16.4%: 15 occurrences (3.0%) -16.4% to -13.1%: 20 occurrences (3.9%) -14.7% -13.1% to -9.7%: 42 occurrences (8.3%) -9.7% to -6.3%: 43 occurrences (8.5%) -6.3% to -2.9%: 45 occurrences (8.9%) -4.6% -2.9% to +0.5%: 44 occurrences (8.7%) +0.5% to +3.9%: 75 occurrences (14.8%) +3.9% to +7.3%: 73 occurrences (14.4%) 5.6% +7.3% to +10.7%: 54 occurrences (10.6%) +10.7% to +14.0%: 43 occurrences (8.5%) +14.0% to +17.4%: 23 occurrences (4.5%) 15.7% +17.4% to +20.8%: 9 occurrences (1.8%) +20.8% to +24.2%: 8 occurrences (1.6%) +24.2% to +27.6%: 4 occurrences (0.8%) 25.9%
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) 67.3% 37.4% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 29.3% Adjusts normal bell curve for real-world skewness (-0.19) and kurtosis (0.69).
Standard Normal (Black-Scholes / GBM) 59.8% 29.9% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 67.7% 36.9% Filters for historical windows that started with volatility similar to current 20-day HV (406 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 39.3%
  • Recent 20-Day HV: 37.4%
  • Parkinson Intraday Volatility: 31.4%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: +2.1%
  • Top 10% Move (90th percentile): +13.5%
  • Bottom 10% Move (10th percentile): -12.7%
  • Max Historical Gain (14d): +27.6%
  • Max Historical Loss (14d): -26.6%