Finance

ATII Move Probability $9.01 +1.95 (+27.5%)

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)
2.7%
Stock touched +5.0% ($9.46) at least once during 14 trading days.
Median first touch: Day 11 of 14
Expiration Close Probability
1.1%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.50x
You are 2.5x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±6.8%
$8.39 — $9.62

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 375 historical windows (2025-04-04 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-34.0% to -31.4%: 1 occurrences (0.3%) -32.7% -31.4% to -28.9%: 0 occurrences (0.0%) -28.9% to -26.3%: 0 occurrences (0.0%) -26.3% to -23.8%: 0 occurrences (0.0%) -25.0% -23.8% to -21.2%: 0 occurrences (0.0%) -21.2% to -18.7%: 0 occurrences (0.0%) -18.7% to -16.1%: 1 occurrences (0.3%) -17.4% -16.1% to -13.6%: 3 occurrences (0.8%) -13.6% to -11.0%: 0 occurrences (0.0%) -11.0% to -8.5%: 0 occurrences (0.0%) -9.7% -8.5% to -5.9%: 0 occurrences (0.0%) -5.9% to -3.4%: 5 occurrences (1.3%) -3.4% to -0.8%: 43 occurrences (11.5%) -2.1% -0.8% to +1.8%: 272 occurrences (72.5%) +1.8% to +4.3%: 43 occurrences (11.5%) +4.3% to +6.9%: 7 occurrences (1.9%) 5.6%
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) 2.7% 1.1% Model-free reality across 375 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 0.0% Adjusts normal bell curve for real-world skewness (0.85) and kurtosis (138.19).
Standard Normal (Black-Scholes / GBM) 47.5% 23.7% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 29.0%
  • Recent 20-Day HV: 128.1%
  • Parkinson Intraday Volatility: 17.7%
  • Vol Trend: Expanded (+342% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.0%
  • Top 10% Move (90th percentile): +1.8%
  • Bottom 10% Move (10th percentile): -1.4%
  • Max Historical Gain (14d): +6.9%
  • Max Historical Loss (14d): -34.0%