Finance

AVA Move Probability $36.90 +0.02 (+0.1%)

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)
24.0%
Stock touched +5.0% ($38.74) at least once during 14 trading days.
Median first touch: Day 9 of 14
Expiration Close Probability
11.4%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.10x
You are 2.1x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±4.5%
$35.25 — $38.55

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%.

-8.9% to -7.7%: 8 occurrences (1.6%) -8.3% -7.7% to -6.5%: 12 occurrences (2.4%) -6.5% to -5.3%: 24 occurrences (4.7%) -5.3% to -4.1%: 29 occurrences (5.7%) -4.7% -4.1% to -2.9%: 30 occurrences (5.9%) -2.9% to -1.7%: 60 occurrences (11.8%) -1.7% to -0.4%: 71 occurrences (14.0%) -1.0% -0.4% to +0.8%: 47 occurrences (9.3%) +0.8% to +2.0%: 56 occurrences (11.0%) +2.0% to +3.2%: 52 occurrences (10.2%) 2.6% +3.2% to +4.4%: 50 occurrences (9.8%) +4.4% to +5.6%: 28 occurrences (5.5%) +5.6% to +6.9%: 21 occurrences (4.1%) 6.3% +6.9% to +8.1%: 9 occurrences (1.8%) +8.1% to +9.3%: 7 occurrences (1.4%) +9.3% to +10.5%: 4 occurrences (0.8%) 9.9%
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) 24.0% 11.4% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 12.0% Adjusts normal bell curve for real-world skewness (-0.36) and kurtosis (1.02).
Standard Normal (Black-Scholes / GBM) 27.6% 13.8% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 21.8% 10.6% Filters for historical windows that started with volatility similar to current 20-day HV (321 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 19.0%
  • Recent 20-Day HV: 15.0%
  • Parkinson Intraday Volatility: 14.9%
  • Vol Trend: Compressed (-21% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.0%
  • Top 10% Move (90th percentile): +5.2%
  • Bottom 10% Move (10th percentile): -4.8%
  • Max Historical Gain (14d): +10.5%
  • Max Historical Loss (14d): -8.9%