Finance

SFIO Move Probability $0.00 -0.00 (-16.7%)

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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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
77.4%
Stock touched +5.0% ($0.00) at least once during 14 trading days.
Median first touch: Day 1 of 14
Expiration Close Probability
32.3%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.39x
You are 2.4x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±40.7%
$0.00 — $0.00

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 486 historical windows (2024-10-22 to 2026-10-20). The colored bar indicates the win zone for +5.0%.

-58.8% to -36.0%: 7 occurrences (1.4%) -47.4% -36.0% to -13.3%: 133 occurrences (27.4%) -13.3% to +9.5%: 227 occurrences (46.7%) +9.5% to +32.3%: 79 occurrences (16.3%) 20.9% +32.3% to +55.1%: 26 occurrences (5.3%) +55.1% to +77.9%: 7 occurrences (1.4%) +77.9% to +100.7%: 1 occurrences (0.2%) 89.3% +100.7% to +123.4%: 0 occurrences (0.0%) +123.4% to +146.2%: 0 occurrences (0.0%) +146.2% to +169.0%: 3 occurrences (0.6%) 157.6% +169.0% to +191.8%: 0 occurrences (0.0%) +191.8% to +214.6%: 0 occurrences (0.0%) +214.6% to +237.4%: 0 occurrences (0.0%) 226.0% +237.4% to +260.1%: 0 occurrences (0.0%) +260.1% to +282.9%: 1 occurrences (0.2%) +282.9% to +305.7%: 2 occurrences (0.4%) 294.3%
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% 32.3% Model-free reality across 486 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 44.6% Adjusts normal bell curve for real-world skewness (-0.1) and kurtosis (2.19).
Standard Normal (Black-Scholes / GBM) 90.4% 45.2% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 76.1% 35.4% Filters for historical windows that started with volatility similar to current 20-day HV (305 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 172.5%
  • Recent 20-Day HV: 130.7%
  • Parkinson Intraday Volatility: 202.5%
  • Vol Trend: Compressed (-24% vs baseline)

14-Day Return Quantiles

  • Median Return: -3.4%
  • Top 10% Move (90th percentile): +27.3%
  • Bottom 10% Move (10th percentile): -23.1%
  • Max Historical Gain (14d): +305.7%
  • Max Historical Loss (14d): -58.8%