Finance

SE Move Probability $95.40 -0.43 (-0.4%)

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

← Back to SE Options chain →
Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
25.9%
Stock touched +5.0% ($100.17) at least once during 3 trading days.
Median first touch: Day 2 of 3
Expiration Close Probability
14.3%
Stock closed at or beyond +5.0% at the end of the 3-day window.
The Touch Multiple
1.81x
You are 1.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±5.3%
$90.33 — $100.47

Historical 3-Day Return Distribution

Frequency of rolling 3-day percentage returns over 518 historical windows (2024-09-13 to 2026-10-12). The colored bar indicates the win zone for +5.0%.

-20.7% to -18.2%: 4 occurrences (0.8%) -19.5% -18.2% to -15.7%: 0 occurrences (0.0%) -15.7% to -13.2%: 0 occurrences (0.0%) -13.2% to -10.7%: 5 occurrences (1.0%) -12.0% -10.7% to -8.2%: 11 occurrences (2.1%) -8.2% to -5.8%: 31 occurrences (6.0%) -5.8% to -3.3%: 67 occurrences (12.9%) -4.5% -3.3% to -0.8%: 84 occurrences (16.2%) -0.8% to +1.7%: 136 occurrences (26.3%) +1.7% to +4.2%: 88 occurrences (17.0%) 3.0% +4.2% to +6.7%: 49 occurrences (9.5%) +6.7% to +9.2%: 19 occurrences (3.7%) +9.2% to +11.7%: 10 occurrences (1.9%) 10.4% +11.7% to +14.2%: 7 occurrences (1.4%) +14.2% to +16.7%: 2 occurrences (0.4%) +16.7% to +19.2%: 5 occurrences (1.0%) 17.9%
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) 25.9% 14.3% Model-free reality across 518 historical 3-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 7.8% Adjusts normal bell curve for real-world skewness (0.16) and kurtosis (6.02).
Standard Normal (Black-Scholes / GBM) 35.9% 17.9% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 20.8% 14.0% Filters for historical windows that started with volatility similar to current 20-day HV (178 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)

3-Day Return Quantiles

  • Median Return: +0.2%
  • Top 10% Move (90th percentile): +6.1%
  • Bottom 10% Move (10th percentile): -5.7%
  • Max Historical Gain (3d): +19.2%
  • Max Historical Loss (3d): -20.7%