Finance

SCSC Move Probability $61.06 +0.86 (+1.4%)

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)
52.4%
Stock touched +5.0% ($64.11) at least once during 14 trading days.
Median first touch: Day 6 of 14
Expiration Close Probability
31.7%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.65x
You are 1.6x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±9.1%
$55.51 — $66.61

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%.

-27.6% to -23.9%: 8 occurrences (1.6%) -25.8% -23.9% to -20.2%: 1 occurrences (0.2%) -20.2% to -16.4%: 9 occurrences (1.8%) -16.4% to -12.7%: 7 occurrences (1.4%) -14.6% -12.7% to -9.0%: 26 occurrences (5.1%) -9.0% to -5.2%: 47 occurrences (9.3%) -5.2% to -1.5%: 87 occurrences (17.1%) -3.4% -1.5% to +2.2%: 90 occurrences (17.7%) +2.2% to +5.9%: 99 occurrences (19.5%) +5.9% to +9.7%: 74 occurrences (14.6%) 7.8% +9.7% to +13.4%: 34 occurrences (6.7%) +13.4% to +17.1%: 16 occurrences (3.1%) +17.1% to +20.9%: 2 occurrences (0.4%) 19.0% +20.9% to +24.6%: 4 occurrences (0.8%) +24.6% to +28.3%: 2 occurrences (0.4%) +28.3% to +32.1%: 2 occurrences (0.4%) 30.2%
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) 52.4% 31.7% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 11.6% Adjusts normal bell curve for real-world skewness (-1.02) and kurtosis (14.01).
Standard Normal (Black-Scholes / GBM) 59.2% 29.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 58.8% 34.6% Filters for historical windows that started with volatility similar to current 20-day HV (318 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 38.6%
  • Recent 20-Day HV: 31.0%
  • Parkinson Intraday Volatility: 25.5%
  • Vol Trend: Compressed (-20% vs baseline)

14-Day Return Quantiles

  • Median Return: +1.6%
  • Top 10% Move (90th percentile): +10.3%
  • Bottom 10% Move (10th percentile): -8.9%
  • Max Historical Gain (14d): +32.1%
  • Max Historical Loss (14d): -27.6%