Finance

SAIL Move Probability $21.82 +1.77 (+8.8%)

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 SAIL Options chain →
Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
65.0%
Stock touched +5.0% ($22.91) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
32.5%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.00x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±14.5%
$18.65 — $24.98

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 412 historical windows (2025-02-13 to 2026-10-23). The colored bar indicates the win zone for +5.0%.

-35.1% to -28.5%: 5 occurrences (1.2%) -31.8% -28.5% to -21.9%: 9 occurrences (2.2%) -21.9% to -15.3%: 31 occurrences (7.5%) -15.3% to -8.7%: 66 occurrences (16.0%) -12.0% -8.7% to -2.1%: 92 occurrences (22.3%) -2.1% to +4.5%: 71 occurrences (17.2%) +4.5% to +11.1%: 64 occurrences (15.5%) 7.8% +11.1% to +17.7%: 25 occurrences (6.1%) +17.7% to +24.3%: 18 occurrences (4.4%) +24.3% to +30.9%: 12 occurrences (2.9%) 27.6% +30.9% to +37.5%: 14 occurrences (3.4%) +37.5% to +44.1%: 1 occurrences (0.2%) +44.1% to +50.7%: 0 occurrences (0.0%) 47.4% +50.7% to +57.3%: 2 occurrences (0.5%) +57.3% to +63.9%: 1 occurrences (0.2%) +63.9% to +70.5%: 1 occurrences (0.2%) 67.2%
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) 65.0% 32.5% Model-free reality across 412 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 34.7% Adjusts normal bell curve for real-world skewness (-0.12) and kurtosis (1.87).
Standard Normal (Black-Scholes / GBM) 73.7% 36.8% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 65.0% 30.1% Filters for historical windows that started with volatility similar to current 20-day HV (246 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 61.5%
  • Recent 20-Day HV: 48.6%
  • Parkinson Intraday Volatility: 52.7%
  • Vol Trend: Compressed (-21% vs baseline)

14-Day Return Quantiles

  • Median Return: -1.8%
  • Top 10% Move (90th percentile): +19.3%
  • Bottom 10% Move (10th percentile): -16.0%
  • Max Historical Gain (14d): +70.5%
  • Max Historical Loss (14d): -35.1%