Finance

SBR Move Probability $72.74 +0.71 (+1.0%)

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)
29.2%
Stock touched +5.0% ($76.38) at least once during 14 trading days.
Median first touch: Day 8 of 14
Expiration Close Probability
17.6%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.66x
You are 1.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±5.6%
$68.68 — $76.80

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 507 historical windows (2024-09-23 to 2026-10-20). The colored bar indicates the win zone for +5.0%.

-19.2% to -17.1%: 1 occurrences (0.2%) -18.2% -17.1% to -15.0%: 3 occurrences (0.6%) -15.0% to -12.9%: 5 occurrences (1.0%) -12.9% to -10.8%: 8 occurrences (1.6%) -11.9% -10.8% to -8.8%: 2 occurrences (0.4%) -8.8% to -6.7%: 15 occurrences (3.0%) -6.7% to -4.6%: 18 occurrences (3.6%) -5.6% -4.6% to -2.5%: 43 occurrences (8.5%) -2.5% to -0.4%: 84 occurrences (16.6%) -0.4% to +1.7%: 93 occurrences (18.3%) 0.6% +1.7% to +3.8%: 103 occurrences (20.3%) +3.8% to +5.9%: 62 occurrences (12.2%) +5.9% to +8.0%: 40 occurrences (7.9%) 6.9% +8.0% to +10.0%: 19 occurrences (3.7%) +10.0% to +12.1%: 8 occurrences (1.6%) +12.1% to +14.2%: 3 occurrences (0.6%) 13.2%
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) 29.2% 17.6% Model-free reality across 507 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 10.1% Adjusts normal bell curve for real-world skewness (-1.1) and kurtosis (6.68).
Standard Normal (Black-Scholes / GBM) 38.2% 19.1% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 24.6% 14.8% Filters for historical windows that started with volatility similar to current 20-day HV (244 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 23.7%
  • Recent 20-Day HV: 15.5%
  • Parkinson Intraday Volatility: 8.8%
  • Vol Trend: Compressed (-34% vs baseline)

14-Day Return Quantiles

  • Median Return: +1.3%
  • Top 10% Move (90th percentile): +6.5%
  • Bottom 10% Move (10th percentile): -4.6%
  • Max Historical Gain (14d): +14.2%
  • Max Historical Loss (14d): -19.2%