Finance

SERA Move Probability $2.06 +0.02 (+1.2%)

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)
67.3%
Stock touched +5.0% ($2.17) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
30.4%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.21x
You are 2.2x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±21.8%
$1.61 — $2.52

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%.

-38.1% to -26.6%: 35 occurrences (6.9%) -32.3% -26.6% to -15.0%: 95 occurrences (18.7%) -15.0% to -3.5%: 108 occurrences (21.3%) -3.5% to +8.1%: 153 occurrences (30.2%) 2.3% +8.1% to +19.7%: 54 occurrences (10.7%) +19.7% to +31.2%: 30 occurrences (5.9%) +31.2% to +42.8%: 16 occurrences (3.2%) 37.0% +42.8% to +54.3%: 12 occurrences (2.4%) +54.3% to +65.9%: 1 occurrences (0.2%) +65.9% to +77.4%: 1 occurrences (0.2%) 71.7% +77.4% to +89.0%: 1 occurrences (0.2%) +89.0% to +100.5%: 0 occurrences (0.0%) +100.5% to +112.1%: 0 occurrences (0.0%) 106.3% +112.1% to +123.6%: 0 occurrences (0.0%) +123.6% to +135.2%: 0 occurrences (0.0%) +135.2% to +146.8%: 1 occurrences (0.2%) 141.0%
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) 67.3% 30.4% Model-free reality across 507 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 10.4% Adjusts normal bell curve for real-world skewness (2.48) and kurtosis (30.31).
Standard Normal (Black-Scholes / GBM) 82.3% 41.2% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 65.4% 15.4% Filters for historical windows that started with volatility similar to current 20-day HV (26 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 92.6%
  • Recent 20-Day HV: 35.1%
  • Parkinson Intraday Volatility: 58.4%
  • Vol Trend: Compressed (-62% vs baseline)

14-Day Return Quantiles

  • Median Return: -2.3%
  • Top 10% Move (90th percentile): +22.1%
  • Bottom 10% Move (10th percentile): -23.8%
  • Max Historical Gain (14d): +146.8%
  • Max Historical Loss (14d): -38.1%