Finance

SELF Move Probability $4.94 +0.02 (+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.

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Touch Probability (First Passage)
16.8%
Stock touched +5.0% ($5.19) at least once during 14 trading days.
Median first touch: Day 8 of 14
Expiration Close Probability
8.9%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.89x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±4.6%
$4.71 — $5.17

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 507 historical windows (2024-09-23 to 2026-10-20). The colored bar indicates the win zone for +5.0%.

-9.9% to -8.5%: 12 occurrences (2.4%) -9.2% -8.5% to -7.1%: 3 occurrences (0.6%) -7.1% to -5.6%: 13 occurrences (2.6%) -5.6% to -4.2%: 21 occurrences (4.1%) -4.9% -4.2% to -2.7%: 36 occurrences (7.1%) -2.7% to -1.3%: 84 occurrences (16.6%) -1.3% to +0.2%: 68 occurrences (13.4%) -0.5% +0.2% to +1.6%: 102 occurrences (20.1%) +1.6% to +3.1%: 77 occurrences (15.2%) +3.1% to +4.5%: 40 occurrences (7.9%) 3.8% +4.5% to +6.0%: 20 occurrences (3.9%) +6.0% to +7.4%: 16 occurrences (3.2%) +7.4% to +8.9%: 9 occurrences (1.8%) 8.2% +8.9% to +10.3%: 4 occurrences (0.8%) +10.3% to +11.8%: 1 occurrences (0.2%) +11.8% to +13.2%: 1 occurrences (0.2%) 12.5%
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) 16.8% 8.9% Model-free reality across 507 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 8.6% Adjusts normal bell curve for real-world skewness (-0.31) and kurtosis (3.62).
Standard Normal (Black-Scholes / GBM) 28.6% 14.3% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 20.0% 11.3% Filters for historical windows that started with volatility similar to current 20-day HV (355 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 19.4%
  • Recent 20-Day HV: 19.8%
  • Parkinson Intraday Volatility: 7.9%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: +0.4%
  • Top 10% Move (90th percentile): +4.4%
  • Bottom 10% Move (10th percentile): -4.1%
  • Max Historical Gain (14d): +13.2%
  • Max Historical Loss (14d): -9.9%