Finance

SE Move Probability $95.83 +0.59 (+0.6%)

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

← Back to SE Options chain →
Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
63.1%
Stock touched +5.0% ($100.62) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
31.2%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.03x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±11.5%
$84.82 — $106.84

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 507 historical windows (2024-09-13 to 2026-10-12). The colored bar indicates the win zone for +5.0%.

-26.0% to -22.4%: 7 occurrences (1.4%) -24.2% -22.4% to -18.8%: 3 occurrences (0.6%) -18.8% to -15.2%: 14 occurrences (2.8%) -15.2% to -11.7%: 37 occurrences (7.3%) -13.5% -11.7% to -8.1%: 44 occurrences (8.7%) -8.1% to -4.5%: 69 occurrences (13.6%) -4.5% to -0.9%: 76 occurrences (15.0%) -2.7% -0.9% to +2.7%: 53 occurrences (10.5%) +2.7% to +6.3%: 61 occurrences (12.0%) +6.3% to +9.9%: 35 occurrences (6.9%) 8.1% +9.9% to +13.4%: 39 occurrences (7.7%) +13.4% to +17.0%: 18 occurrences (3.6%) +17.0% to +20.6%: 26 occurrences (5.1%) 18.8% +20.6% to +24.2%: 14 occurrences (2.8%) +24.2% to +27.8%: 7 occurrences (1.4%) +27.8% to +31.4%: 4 occurrences (0.8%) 29.6%
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) 63.1% 31.2% Model-free reality across 507 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 22.8% Adjusts normal bell curve for real-world skewness (0.16) and kurtosis (6.02).
Standard Normal (Black-Scholes / GBM) 67.1% 33.5% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 66.5% 29.9% Filters for historical windows that started with volatility similar to current 20-day HV (167 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 48.7%
  • Recent 20-Day HV: 29.5%
  • Parkinson Intraday Volatility: 37.3%
  • Vol Trend: Compressed (-40% vs baseline)

14-Day Return Quantiles

  • Median Return: -0.4%
  • Top 10% Move (90th percentile): +16.9%
  • Bottom 10% Move (10th percentile): -12.4%
  • Max Historical Gain (14d): +31.4%
  • Max Historical Loss (14d): -26.0%