Finance

HASI Move Probability $36.48 +0.79 (+2.2%)

Real historical back-data analysis: evaluates rolling trading-day windows to determine the probability of a stock touching or closing at your target move.

← Back to HASI Options chain →
Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
51.0%
Stock touched +5.0% ($38.30) at least once during 14 trading days.
Median first touch: Day 6 of 14
Expiration Close Probability
26.2%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.95x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±7.9%
$33.59 — $39.36

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%.

-21.9% to -19.3%: 8 occurrences (1.6%) -20.6% -19.3% to -16.6%: 8 occurrences (1.6%) -16.6% to -14.0%: 9 occurrences (1.8%) -14.0% to -11.3%: 6 occurrences (1.2%) -12.7% -11.3% to -8.7%: 14 occurrences (2.8%) -8.7% to -6.0%: 38 occurrences (7.5%) -6.0% to -3.4%: 37 occurrences (7.3%) -4.7% -3.4% to -0.7%: 65 occurrences (12.8%) -0.7% to +1.9%: 103 occurrences (20.3%) +1.9% to +4.6%: 76 occurrences (15.0%) 3.3% +4.6% to +7.2%: 49 occurrences (9.6%) +7.2% to +9.9%: 40 occurrences (7.9%) +9.9% to +12.5%: 29 occurrences (5.7%) 11.2% +12.5% to +15.2%: 14 occurrences (2.8%) +15.2% to +17.8%: 6 occurrences (1.2%) +17.8% to +20.5%: 6 occurrences (1.2%) 19.2%
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) 51.0% 26.2% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 17.2% Adjusts normal bell curve for real-world skewness (-0.11) and kurtosis (5.1).
Standard Normal (Black-Scholes / GBM) 53.8% 26.9% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 60.1% 36.5% Filters for historical windows that started with volatility similar to current 20-day HV (148 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 33.6%
  • Recent 20-Day HV: 19.0%
  • Parkinson Intraday Volatility: 27.2%
  • Vol Trend: Compressed (-43% vs baseline)

14-Day Return Quantiles

  • Median Return: +1.1%
  • Top 10% Move (90th percentile): +10.0%
  • Bottom 10% Move (10th percentile): -8.2%
  • Max Historical Gain (14d): +20.5%
  • Max Historical Loss (14d): -21.9%