Finance

SES Move Probability $0.64 -0.00 (-0.6%)

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)
77.4%
Stock touched +5.0% ($0.67) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
36.8%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.10x
You are 2.1x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±38.5%
$0.39 — $0.88

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%.

-72.6% to -61.3%: 5 occurrences (1.0%) -67.0% -61.3% to -50.1%: 13 occurrences (2.6%) -50.1% to -38.8%: 21 occurrences (4.1%) -38.8% to -27.5%: 48 occurrences (9.4%) -33.2% -27.5% to -16.3%: 71 occurrences (14.0%) -16.3% to -5.0%: 83 occurrences (16.3%) -5.0% to +6.3%: 89 occurrences (17.5%) 0.6% +6.3% to +17.5%: 58 occurrences (11.4%) +17.5% to +28.8%: 37 occurrences (7.3%) +28.8% to +40.1%: 35 occurrences (6.9%) 34.4% +40.1% to +51.3%: 15 occurrences (3.0%) +51.3% to +62.6%: 9 occurrences (1.8%) +62.6% to +73.9%: 9 occurrences (1.8%) 68.2% +73.9% to +85.1%: 8 occurrences (1.6%) +85.1% to +96.4%: 5 occurrences (1.0%) +96.4% to +107.7%: 2 occurrences (0.4%) 102.0%
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) 77.4% 36.8% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 42.6% Adjusts normal bell curve for real-world skewness (-4.06) and kurtosis (64.53).
Standard Normal (Black-Scholes / GBM) 89.9% 45.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 77.7% 30.6% Filters for historical windows that started with volatility similar to current 20-day HV (157 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 163.5%
  • Recent 20-Day HV: 176.6%
  • Parkinson Intraday Volatility: 107.5%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: -2.7%
  • Top 10% Move (90th percentile): +39.3%
  • Bottom 10% Move (10th percentile): -35.0%
  • Max Historical Gain (14d): +107.7%
  • Max Historical Loss (14d): -72.6%