Finance

SABR Move Probability $1.52 -0.04 (-2.6%)

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)
69.3%
Stock touched +5.0% ($1.60) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
33.5%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.07x
You are 2.1x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±19.4%
$1.23 — $1.82

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%.

-45.3% to -36.8%: 18 occurrences (3.5%) -41.1% -36.8% to -28.4%: 11 occurrences (2.2%) -28.4% to -19.9%: 22 occurrences (4.3%) -19.9% to -11.5%: 66 occurrences (13.0%) -15.7% -11.5% to -3.0%: 110 occurrences (21.7%) -3.0% to +5.4%: 121 occurrences (23.8%) +5.4% to +13.9%: 68 occurrences (13.4%) 9.7% +13.9% to +22.4%: 50 occurrences (9.8%) +22.4% to +30.8%: 21 occurrences (4.1%) +30.8% to +39.3%: 7 occurrences (1.4%) 35.1% +39.3% to +47.7%: 4 occurrences (0.8%) +47.7% to +56.2%: 2 occurrences (0.4%) +56.2% to +64.7%: 1 occurrences (0.2%) 60.4% +64.7% to +73.1%: 2 occurrences (0.4%) +73.1% to +81.6%: 3 occurrences (0.6%) +81.6% to +90.0%: 2 occurrences (0.4%) 85.8%
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% 33.5% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 26.7% Adjusts normal bell curve for real-world skewness (-0.53) and kurtosis (15.09).
Standard Normal (Black-Scholes / GBM) 80.2% 40.1% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 63.1% 24.6% Filters for historical windows that started with volatility similar to current 20-day HV (130 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 82.5%
  • Recent 20-Day HV: 37.9%
  • Parkinson Intraday Volatility: 63.5%
  • Vol Trend: Compressed (-54% vs baseline)

14-Day Return Quantiles

  • Median Return: -1.5%
  • Top 10% Move (90th percentile): +19.7%
  • Bottom 10% Move (10th percentile): -19.3%
  • Max Historical Gain (14d): +90.0%
  • Max Historical Loss (14d): -45.3%