Finance

AU Move Probability $91.50 +0.69 (+0.8%)

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)
73.4%
Stock touched +5.0% ($96.08) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
45.1%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.63x
You are 1.6x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±12.8%
$79.76 — $103.24

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%.

-34.4% to -29.2%: 2 occurrences (0.4%) -31.8% -29.2% to -23.9%: 1 occurrences (0.2%) -23.9% to -18.7%: 7 occurrences (1.4%) -18.7% to -13.4%: 25 occurrences (4.9%) -16.0% -13.4% to -8.2%: 47 occurrences (9.3%) -8.2% to -2.9%: 81 occurrences (15.9%) -2.9% to +2.3%: 82 occurrences (16.1%) -0.3% +2.3% to +7.6%: 60 occurrences (11.8%) +7.6% to +12.8%: 60 occurrences (11.8%) +12.8% to +18.0%: 64 occurrences (12.6%) 15.4% +18.0% to +23.3%: 47 occurrences (9.3%) +23.3% to +28.5%: 23 occurrences (4.5%) +28.5% to +33.8%: 3 occurrences (0.6%) 31.2% +33.8% to +39.0%: 2 occurrences (0.4%) +39.0% to +44.3%: 1 occurrences (0.2%) +44.3% to +49.5%: 3 occurrences (0.6%) 46.9%
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) 73.4% 45.1% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 35.1% Adjusts normal bell curve for real-world skewness (-0.32) and kurtosis (1.18).
Standard Normal (Black-Scholes / GBM) 70.4% 35.2% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 78.0% 57.4% Filters for historical windows that started with volatility similar to current 20-day HV (223 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 54.4%
  • Recent 20-Day HV: 36.9%
  • Parkinson Intraday Volatility: 33.0%
  • Vol Trend: Compressed (-32% vs baseline)

14-Day Return Quantiles

  • Median Return: +2.9%
  • Top 10% Move (90th percentile): +21.2%
  • Bottom 10% Move (10th percentile): -10.4%
  • Max Historical Gain (14d): +49.5%
  • Max Historical Loss (14d): -34.4%