Finance

SBFM Move Probability $0.22 -0.01 (-4.2%)

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

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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
53.9%
Stock touched +5.0% ($0.23) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
15.9%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
3.38x
You are 3.4x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±29.5%
$0.15 — $0.28

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%.

-76.8% to -69.0%: 11 occurrences (2.2%) -72.9% -69.0% to -61.2%: 7 occurrences (1.4%) -61.2% to -53.4%: 6 occurrences (1.2%) -53.4% to -45.7%: 7 occurrences (1.4%) -49.5% -45.7% to -37.9%: 11 occurrences (2.2%) -37.9% to -30.1%: 14 occurrences (2.8%) -30.1% to -22.3%: 22 occurrences (4.3%) -26.2% -22.3% to -14.5%: 51 occurrences (10.0%) -14.5% to -6.8%: 96 occurrences (18.9%) -6.8% to +1.0%: 155 occurrences (30.5%) -2.9% +1.0% to +8.8%: 78 occurrences (15.4%) +8.8% to +16.6%: 30 occurrences (5.9%) +16.6% to +24.3%: 7 occurrences (1.4%) 20.5% +24.3% to +32.1%: 10 occurrences (2.0%) +32.1% to +39.9%: 1 occurrences (0.2%) +39.9% to +47.7%: 2 occurrences (0.4%) 43.8%
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) 53.9% 15.9% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 30.0% Adjusts normal bell curve for real-world skewness (-0.77) and kurtosis (24.22).
Standard Normal (Black-Scholes / GBM) 86.9% 43.4% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 47.6% 0.0% Filters for historical windows that started with volatility similar to current 20-day HV (21 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 125.2%
  • Recent 20-Day HV: 351.3%
  • Parkinson Intraday Volatility: 112.1%
  • Vol Trend: Expanded (+181% vs baseline)

14-Day Return Quantiles

  • Median Return: -5.6%
  • Top 10% Move (90th percentile): +8.6%
  • Bottom 10% Move (10th percentile): -32.6%
  • Max Historical Gain (14d): +47.7%
  • Max Historical Loss (14d): -76.8%