Finance

SATL Move Probability $3.94 +0.25 (+6.6%)

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)
82.1%
Stock touched +5.0% ($4.13) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
38.6%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.13x
You are 2.1x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±28.0%
$2.83 — $5.04

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%.

-59.0% to -32.3%: 40 occurrences (7.9%) -45.6% -32.3% to -5.5%: 153 occurrences (30.1%) -5.5% to +21.2%: 191 occurrences (37.6%) +21.2% to +47.9%: 51 occurrences (10.0%) 34.6% +47.9% to +74.7%: 37 occurrences (7.3%) +74.7% to +101.4%: 13 occurrences (2.6%) +101.4% to +128.2%: 6 occurrences (1.2%) 114.8% +128.2% to +154.9%: 7 occurrences (1.4%) +154.9% to +181.6%: 4 occurrences (0.8%) +181.6% to +208.4%: 2 occurrences (0.4%) 195.0% +208.4% to +235.1%: 1 occurrences (0.2%) +235.1% to +261.9%: 0 occurrences (0.0%) +261.9% to +288.6%: 0 occurrences (0.0%) 275.2% +288.6% to +315.3%: 2 occurrences (0.4%) +315.3% to +342.1%: 0 occurrences (0.0%) +342.1% to +368.8%: 1 occurrences (0.2%) 355.4%
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) 82.1% 38.6% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 37.8% Adjusts normal bell curve for real-world skewness (0.55) and kurtosis (2.57).
Standard Normal (Black-Scholes / GBM) 86.1% 43.1% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 89.6% 51.5% Filters for historical windows that started with volatility similar to current 20-day HV (202 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 118.6%
  • Recent 20-Day HV: 83.1%
  • Parkinson Intraday Volatility: 94.5%
  • Vol Trend: Compressed (-30% vs baseline)

14-Day Return Quantiles

  • Median Return: -0.3%
  • Top 10% Move (90th percentile): +58.9%
  • Bottom 10% Move (10th percentile): -28.4%
  • Max Historical Gain (14d): +368.8%
  • Max Historical Loss (14d): -59.0%