Finance

SDEV Move Probability $1.09 +0.20 (+22.5%)

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)
69.3%
Stock touched +5.0% ($1.14) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
36.0%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.92x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±45.3%
$0.60 — $1.58

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%.

-82.9% to -29.5%: 48 occurrences (9.4%) -56.2% -29.5% to +23.9%: 366 occurrences (72.0%) +23.9% to +77.2%: 40 occurrences (7.9%) +77.2% to +130.6%: 3 occurrences (0.6%) 103.9% +130.6% to +184.0%: 17 occurrences (3.3%) +184.0% to +237.3%: 11 occurrences (2.2%) +237.3% to +290.7%: 4 occurrences (0.8%) 264.0% +290.7% to +344.1%: 6 occurrences (1.2%) +344.1% to +397.4%: 7 occurrences (1.4%) +397.4% to +450.8%: 1 occurrences (0.2%) 424.1% +450.8% to +504.2%: 0 occurrences (0.0%) +504.2% to +557.5%: 1 occurrences (0.2%) +557.5% to +610.9%: 3 occurrences (0.6%) 584.2% +610.9% to +664.3%: 0 occurrences (0.0%) +664.3% to +717.6%: 0 occurrences (0.0%) +717.6% to +771.0%: 1 occurrences (0.2%) 744.3%
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) 69.3% 36.0% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 28.8% Adjusts normal bell curve for real-world skewness (1.89) and kurtosis (14.37).
Standard Normal (Black-Scholes / GBM) 91.4% 45.7% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 76.5% 2.9% Filters for historical windows that started with volatility similar to current 20-day HV (34 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 192.1%
  • Recent 20-Day HV: 532.0%
  • Parkinson Intraday Volatility: 137.1%
  • Vol Trend: Expanded (+177% vs baseline)

14-Day Return Quantiles

  • Median Return: -2.2%
  • Top 10% Move (90th percentile): +103.7%
  • Bottom 10% Move (10th percentile): -27.3%
  • Max Historical Gain (14d): +771.0%
  • Max Historical Loss (14d): -82.9%