Finance

AVD Move Probability $1.05 -0.01 (-0.9%)

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)
62.4%
Stock touched +5.0% ($1.10) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
28.1%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.22x
You are 2.2x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±15.0%
$0.89 — $1.21

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%.

-54.3% to -47.5%: 6 occurrences (1.2%) -50.9% -47.5% to -40.6%: 5 occurrences (1.0%) -40.6% to -33.8%: 8 occurrences (1.6%) -33.8% to -26.9%: 8 occurrences (1.6%) -30.3% -26.9% to -20.0%: 25 occurrences (4.9%) -20.0% to -13.2%: 49 occurrences (9.6%) -13.2% to -6.3%: 106 occurrences (20.9%) -9.8% -6.3% to +0.5%: 88 occurrences (17.3%) +0.5% to +7.4%: 99 occurrences (19.5%) +7.4% to +14.2%: 46 occurrences (9.1%) 10.8% +14.2% to +21.1%: 31 occurrences (6.1%) +21.1% to +27.9%: 13 occurrences (2.6%) +27.9% to +34.8%: 17 occurrences (3.3%) 31.4% +34.8% to +41.6%: 2 occurrences (0.4%) +41.6% to +48.5%: 3 occurrences (0.6%) +48.5% to +55.4%: 2 occurrences (0.4%) 51.9%
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) 62.4% 28.1% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 33.2% Adjusts normal bell curve for real-world skewness (-0.02) and kurtosis (2.9).
Standard Normal (Black-Scholes / GBM) 74.5% 37.3% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 70.1% 27.5% Filters for historical windows that started with volatility similar to current 20-day HV (204 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 63.8%
  • Recent 20-Day HV: 90.1%
  • Parkinson Intraday Volatility: 50.9%
  • Vol Trend: Expanded (+41% vs baseline)

14-Day Return Quantiles

  • Median Return: -2.3%
  • Top 10% Move (90th percentile): +17.6%
  • Bottom 10% Move (10th percentile): -20.1%
  • Max Historical Gain (14d): +55.4%
  • Max Historical Loss (14d): -54.3%