Finance

SEPN Move Probability $40.73 +1.38 (+3.5%)

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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Touch Probability (First Passage)
74.8%
Stock touched +5.0% ($42.77) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
44.2%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.69x
You are 1.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±21.4%
$32.02 — $49.45

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 484 historical windows (2024-10-25 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-66.7% to -58.9%: 7 occurrences (1.4%) -62.8% -58.9% to -51.2%: 2 occurrences (0.4%) -51.2% to -43.4%: 5 occurrences (1.0%) -43.4% to -35.6%: 3 occurrences (0.6%) -39.5% -35.6% to -27.8%: 6 occurrences (1.2%) -27.8% to -20.1%: 9 occurrences (1.9%) -20.1% to -12.3%: 44 occurrences (9.1%) -16.2% -12.3% to -4.5%: 74 occurrences (15.3%) -4.5% to +3.2%: 103 occurrences (21.3%) +3.2% to +11.0%: 78 occurrences (16.1%) 7.1% +11.0% to +18.8%: 63 occurrences (13.0%) +18.8% to +26.6%: 32 occurrences (6.6%) +26.6% to +34.3%: 23 occurrences (4.8%) 30.4% +34.3% to +42.1%: 16 occurrences (3.3%) +42.1% to +49.9%: 12 occurrences (2.5%) +49.9% to +57.7%: 7 occurrences (1.4%) 53.8%
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) 74.8% 44.2% Model-free reality across 484 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 19.9% Adjusts normal bell curve for real-world skewness (-1.89) and kurtosis (36.56).
Standard Normal (Black-Scholes / GBM) 82.0% 41.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 78.8% 51.6% Filters for historical windows that started with volatility similar to current 20-day HV (250 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 90.7%
  • Recent 20-Day HV: 51.8%
  • Parkinson Intraday Volatility: 64.8%
  • Vol Trend: Compressed (-43% vs baseline)

14-Day Return Quantiles

  • Median Return: +2.7%
  • Top 10% Move (90th percentile): +27.5%
  • Bottom 10% Move (10th percentile): -16.2%
  • Max Historical Gain (14d): +57.7%
  • Max Historical Loss (14d): -66.7%