Finance

AVR Move Probability $6.00 -0.29 (-4.6%)

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)
75.3%
Stock touched +5.0% ($6.31) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
43.3%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.74x
You are 1.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±19.7%
$4.82 — $7.19

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 450 historical windows (2024-12-13 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-56.7% to -46.5%: 9 occurrences (2.0%) -51.6% -46.5% to -36.4%: 7 occurrences (1.6%) -36.4% to -26.2%: 14 occurrences (3.1%) -26.2% to -16.0%: 54 occurrences (12.0%) -21.1% -16.0% to -5.9%: 84 occurrences (18.7%) -5.9% to +4.3%: 80 occurrences (17.8%) +4.3% to +14.5%: 75 occurrences (16.7%) 9.4% +14.5% to +24.6%: 52 occurrences (11.6%) +24.6% to +34.8%: 41 occurrences (9.1%) +34.8% to +45.0%: 15 occurrences (3.3%) 39.9% +45.0% to +55.1%: 9 occurrences (2.0%) +55.1% to +65.3%: 7 occurrences (1.6%) +65.3% to +75.5%: 0 occurrences (0.0%) 70.4% +75.5% to +85.6%: 1 occurrences (0.2%) +85.6% to +95.8%: 1 occurrences (0.2%) +95.8% to +106.0%: 1 occurrences (0.2%) 100.9%
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) 75.3% 43.3% Model-free reality across 450 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 32.9% Adjusts normal bell curve for real-world skewness (0.82) and kurtosis (2.98).
Standard Normal (Black-Scholes / GBM) 80.5% 40.2% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 71.8% 44.4% Filters for historical windows that started with volatility similar to current 20-day HV (142 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 83.7%
  • Recent 20-Day HV: 43.4%
  • Parkinson Intraday Volatility: 66.5%
  • Vol Trend: Compressed (-48% vs baseline)

14-Day Return Quantiles

  • Median Return: +1.8%
  • Top 10% Move (90th percentile): +33.1%
  • Bottom 10% Move (10th percentile): -21.5%
  • Max Historical Gain (14d): +106.0%
  • Max Historical Loss (14d): -56.7%