Finance

JSPR Move Probability $0.51 +0.01 (+1.5%)

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)
69.3%
Stock touched +5.0% ($0.53) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
23.2%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.98x
You are 3.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±29.4%
$0.36 — $0.66

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%.

-75.6% to -61.2%: 14 occurrences (2.8%) -68.4% -61.2% to -46.7%: 7 occurrences (1.4%) -46.7% to -32.3%: 28 occurrences (5.5%) -32.3% to -17.9%: 57 occurrences (11.2%) -25.1% -17.9% to -3.5%: 188 occurrences (37.0%) -3.5% to +10.9%: 124 occurrences (24.4%) +10.9% to +25.3%: 64 occurrences (12.6%) 18.1% +25.3% to +39.7%: 10 occurrences (2.0%) +39.7% to +54.1%: 10 occurrences (2.0%) +54.1% to +68.5%: 2 occurrences (0.4%) 61.3% +68.5% to +83.0%: 2 occurrences (0.4%) +83.0% to +97.4%: 1 occurrences (0.2%) +97.4% to +111.8%: 0 occurrences (0.0%) 104.6% +111.8% to +126.2%: 0 occurrences (0.0%) +126.2% to +140.6%: 0 occurrences (0.0%) +140.6% to +155.0%: 1 occurrences (0.2%) 147.8%
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) 69.3% 23.2% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 57.7% Adjusts normal bell curve for real-world skewness (-5.33) and kurtosis (56.09).
Standard Normal (Black-Scholes / GBM) 86.8% 43.4% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 69.1% 20.0% Filters for historical windows that started with volatility similar to current 20-day HV (350 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 124.9%
  • Recent 20-Day HV: 82.4%
  • Parkinson Intraday Volatility: 85.4%
  • Vol Trend: Compressed (-34% vs baseline)

14-Day Return Quantiles

  • Median Return: -6.2%
  • Top 10% Move (90th percentile): +20.4%
  • Bottom 10% Move (10th percentile): -32.2%
  • Max Historical Gain (14d): +155.0%
  • Max Historical Loss (14d): -75.6%