Finance

AUUD Move Probability $0.96 +0.02 (+2.0%)

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)
76.8%
Stock touched +5.0% ($1.01) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
22.0%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
3.48x
You are 3.5x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±34.8%
$0.63 — $1.29

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%.

-73.5% to -66.4%: 5 occurrences (1.0%) -69.9% -66.4% to -59.3%: 4 occurrences (0.8%) -59.3% to -52.1%: 5 occurrences (1.0%) -52.1% to -45.0%: 5 occurrences (1.0%) -48.6% -45.0% to -37.9%: 12 occurrences (2.4%) -37.9% to -30.8%: 29 occurrences (5.7%) -30.8% to -23.6%: 36 occurrences (7.1%) -27.2% -23.6% to -16.5%: 71 occurrences (14.0%) -16.5% to -9.4%: 71 occurrences (14.0%) -9.4% to -2.2%: 89 occurrences (17.5%) -5.8% -2.2% to +4.9%: 65 occurrences (12.8%) +4.9% to +12.0%: 54 occurrences (10.6%) +12.0% to +19.1%: 32 occurrences (6.3%) 15.6% +19.1% to +26.3%: 17 occurrences (3.3%) +26.3% to +33.4%: 10 occurrences (2.0%) +33.4% to +40.5%: 3 occurrences (0.6%) 36.9%
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) 76.8% 22.0% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 40.4% Adjusts normal bell curve for real-world skewness (-2.13) and kurtosis (30.99).
Standard Normal (Black-Scholes / GBM) 88.9% 44.4% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 75.8% 16.1% Filters for historical windows that started with volatility similar to current 20-day HV (273 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 147.7%
  • Recent 20-Day HV: 105.0%
  • Parkinson Intraday Volatility: 91.2%
  • Vol Trend: Compressed (-29% vs baseline)

14-Day Return Quantiles

  • Median Return: -8.4%
  • Top 10% Move (90th percentile): +14.4%
  • Bottom 10% Move (10th percentile): -31.7%
  • Max Historical Gain (14d): +40.5%
  • Max Historical Loss (14d): -73.5%