Finance

SENS Move Probability $7.96 -0.23 (-2.8%)

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)
76.4%
Stock touched +5.0% ($8.36) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
34.1%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.24x
You are 2.2x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±21.6%
$6.25 — $9.68

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%.

-53.0% to -40.0%: 7 occurrences (1.4%) -46.5% -40.0% to -27.0%: 14 occurrences (2.8%) -27.0% to -14.1%: 91 occurrences (17.9%) -14.1% to -1.1%: 141 occurrences (27.8%) -7.6% -1.1% to +11.9%: 125 occurrences (24.6%) +11.9% to +24.8%: 65 occurrences (12.8%) +24.8% to +37.8%: 26 occurrences (5.1%) 31.3% +37.8% to +50.8%: 7 occurrences (1.4%) +50.8% to +63.7%: 10 occurrences (2.0%) +63.7% to +76.7%: 5 occurrences (1.0%) 70.2% +76.7% to +89.7%: 9 occurrences (1.8%) +89.7% to +102.6%: 1 occurrences (0.2%) +102.6% to +115.6%: 1 occurrences (0.2%) 109.1% +115.6% to +128.6%: 2 occurrences (0.4%) +128.6% to +141.5%: 3 occurrences (0.6%) +141.5% to +154.5%: 1 occurrences (0.2%) 148.0%
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) 76.4% 34.1% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 16.6% Adjusts normal bell curve for real-world skewness (1.98) and kurtosis (19.8).
Standard Normal (Black-Scholes / GBM) 82.1% 41.1% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 72.5% 28.3% Filters for historical windows that started with volatility similar to current 20-day HV (244 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 91.5%
  • Recent 20-Day HV: 61.6%
  • Parkinson Intraday Volatility: 72.9%
  • Vol Trend: Compressed (-33% vs baseline)

14-Day Return Quantiles

  • Median Return: -0.8%
  • Top 10% Move (90th percentile): +29.3%
  • Bottom 10% Move (10th percentile): -21.9%
  • Max Historical Gain (14d): +154.5%
  • Max Historical Loss (14d): -53.0%