Finance

AWR Move Probability $81.87 -1.30 (-1.6%)

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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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
30.5%
Stock touched +5.0% ($85.96) at least once during 14 trading days.
Median first touch: Day 7 of 14
Expiration Close Probability
10.0%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
3.04x
You are 3.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±4.8%
$77.91 — $85.83

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%.

-12.6% to -11.1%: 2 occurrences (0.4%) -11.8% -11.1% to -9.7%: 3 occurrences (0.6%) -9.7% to -8.3%: 1 occurrences (0.2%) -8.3% to -6.8%: 12 occurrences (2.4%) -7.5% -6.8% to -5.4%: 15 occurrences (3.0%) -5.4% to -4.0%: 32 occurrences (6.3%) -4.0% to -2.5%: 47 occurrences (9.3%) -3.2% -2.5% to -1.1%: 73 occurrences (14.4%) -1.1% to +0.3%: 85 occurrences (16.7%) +0.3% to +1.8%: 78 occurrences (15.4%) 1.1% +1.8% to +3.2%: 54 occurrences (10.6%) +3.2% to +4.7%: 45 occurrences (8.9%) +4.7% to +6.1%: 26 occurrences (5.1%) 5.4% +6.1% to +7.5%: 17 occurrences (3.3%) +7.5% to +9.0%: 12 occurrences (2.4%) +9.0% to +10.4%: 6 occurrences (1.2%) 9.7%
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) 30.5% 10.0% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 13.9% Adjusts normal bell curve for real-world skewness (-0.02) and kurtosis (0.93).
Standard Normal (Black-Scholes / GBM) 31.3% 15.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 28.6% 10.2% Filters for historical windows that started with volatility similar to current 20-day HV (332 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 20.5%
  • Recent 20-Day HV: 16.4%
  • Parkinson Intraday Volatility: 15.0%
  • Vol Trend: Compressed (-20% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.0%
  • Top 10% Move (90th percentile): +5.0%
  • Bottom 10% Move (10th percentile): -4.4%
  • Max Historical Gain (14d): +10.4%
  • Max Historical Loss (14d): -12.6%