Finance

AUR Move Probability $5.01 -0.01 (-0.2%)

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)
22.5%
Stock touched +5.0% ($5.26) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
9.8%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
2.29x
You are 2.3x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±5.2%
$4.75 — $5.27

Historical 1-Day Return Distribution

Frequency of rolling 1-day percentage returns over 521 historical windows (2024-09-23 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-21.4% to -17.2%: 1 occurrences (0.2%) -19.3% -17.2% to -13.0%: 1 occurrences (0.2%) -13.0% to -8.8%: 17 occurrences (3.3%) -8.8% to -4.7%: 48 occurrences (9.2%) -6.7% -4.7% to -0.5%: 169 occurrences (32.4%) -0.5% to +3.7%: 203 occurrences (39.0%) +3.7% to +7.9%: 56 occurrences (10.7%) 5.8% +7.9% to +12.1%: 12 occurrences (2.3%) +12.1% to +16.3%: 8 occurrences (1.5%) +16.3% to +20.4%: 2 occurrences (0.4%) 18.4% +20.4% to +24.6%: 2 occurrences (0.4%) +24.6% to +28.8%: 0 occurrences (0.0%) +28.8% to +33.0%: 1 occurrences (0.2%) 30.9% +33.0% to +37.2%: 0 occurrences (0.0%) +37.2% to +41.4%: 0 occurrences (0.0%) +41.4% to +45.6%: 1 occurrences (0.2%) 43.5%
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) 22.5% 9.8% Model-free reality across 521 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 6.8% Adjusts normal bell curve for real-world skewness (1.03) and kurtosis (7.55).
Standard Normal (Black-Scholes / GBM) 35.0% 17.5% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 20.4% 8.9% Filters for historical windows that started with volatility similar to current 20-day HV (304 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 82.9%
  • Recent 20-Day HV: 75.3%
  • Parkinson Intraday Volatility: 69.2%
  • Vol Trend: Normal / Consistent

1-Day Return Quantiles

  • Median Return: -0.1%
  • Top 10% Move (90th percentile): +4.8%
  • Bottom 10% Move (10th percentile): -5.4%
  • Max Historical Gain (1d): +45.6%
  • Max Historical Loss (1d): -21.4%