Finance

AUST Move Probability $0.81 -0.05 (-5.4%)

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)
68.0%
Stock touched +5.0% ($0.85) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
31.4%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.17x
You are 2.2x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±21.9%
$0.63 — $0.98

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 507 historical windows (2024-09-23 to 2026-10-20). The colored bar indicates the win zone for +5.0%.

-40.8% to -29.6%: 23 occurrences (4.5%) -35.2% -29.6% to -18.5%: 47 occurrences (9.3%) -18.5% to -7.3%: 121 occurrences (23.9%) -7.3% to +3.8%: 148 occurrences (29.2%) -1.7% +3.8% to +15.0%: 65 occurrences (12.8%) +15.0% to +26.1%: 35 occurrences (6.9%) +26.1% to +37.3%: 29 occurrences (5.7%) 31.7% +37.3% to +48.5%: 17 occurrences (3.4%) +48.5% to +59.6%: 7 occurrences (1.4%) +59.6% to +70.8%: 6 occurrences (1.2%) 65.2% +70.8% to +81.9%: 2 occurrences (0.4%) +81.9% to +93.1%: 1 occurrences (0.2%) +93.1% to +104.2%: 1 occurrences (0.2%) 98.7% +104.2% to +115.4%: 4 occurrences (0.8%) +115.4% to +126.5%: 0 occurrences (0.0%) +126.5% to +137.7%: 1 occurrences (0.2%) 132.1%
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) 68.0% 31.4% Model-free reality across 507 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 37.6% Adjusts normal bell curve for real-world skewness (0.01) and kurtosis (3.39).
Standard Normal (Black-Scholes / GBM) 82.4% 41.2% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 55.4% 24.9% Filters for historical windows that started with volatility similar to current 20-day HV (177 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 93.0%
  • Recent 20-Day HV: 55.0%
  • Parkinson Intraday Volatility: 65.1%
  • Vol Trend: Compressed (-41% vs baseline)

14-Day Return Quantiles

  • Median Return: -2.8%
  • Top 10% Move (90th percentile): +31.3%
  • Bottom 10% Move (10th percentile): -21.2%
  • Max Historical Gain (14d): +137.7%
  • Max Historical Loss (14d): -40.8%