Finance

SCM Move Probability $6.75 -0.08 (-1.1%)

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)
30.3%
Stock touched +5.0% ($7.09) at least once during 14 trading days.
Median first touch: Day 7 of 14
Expiration Close Probability
16.3%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.86x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±6.4%
$6.32 — $7.19

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%.

-18.4% to -15.5%: 11 occurrences (2.2%) -16.9% -15.5% to -12.5%: 19 occurrences (3.7%) -12.5% to -9.6%: 35 occurrences (6.9%) -9.6% to -6.6%: 53 occurrences (10.4%) -8.1% -6.6% to -3.7%: 44 occurrences (8.7%) -3.7% to -0.7%: 75 occurrences (14.8%) -0.7% to +2.2%: 89 occurrences (17.5%) 0.7% +2.2% to +5.2%: 103 occurrences (20.3%) +5.2% to +8.1%: 41 occurrences (8.1%) +8.1% to +11.1%: 19 occurrences (3.7%) 9.6% +11.1% to +14.0%: 7 occurrences (1.4%) +14.0% to +17.0%: 3 occurrences (0.6%) +17.0% to +19.9%: 4 occurrences (0.8%) 18.4% +19.9% to +22.8%: 1 occurrences (0.2%) +22.8% to +25.8%: 2 occurrences (0.4%) +25.8% to +28.7%: 2 occurrences (0.4%) 27.3%
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) 30.3% 16.3% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 15.2% Adjusts normal bell curve for real-world skewness (-1.07) and kurtosis (5.67).
Standard Normal (Black-Scholes / GBM) 44.7% 22.3% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 22.4% 11.7% Filters for historical windows that started with volatility similar to current 20-day HV (281 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 27.2%
  • Recent 20-Day HV: 22.1%
  • Parkinson Intraday Volatility: 19.3%
  • Vol Trend: Compressed (-19% vs baseline)

14-Day Return Quantiles

  • Median Return: -0.1%
  • Top 10% Move (90th percentile): +6.8%
  • Bottom 10% Move (10th percentile): -10.2%
  • Max Historical Gain (14d): +28.7%
  • Max Historical Loss (14d): -18.4%