Finance

SFL Move Probability $12.34 +0.31 (+2.6%)

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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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
50.6%
Stock touched +5.0% ($12.96) at least once during 14 trading days.
Median first touch: Day 6 of 14
Expiration Close Probability
28.9%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.75x
You are 1.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±7.7%
$11.40 — $13.28

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%.

-20.3% to -17.4%: 3 occurrences (0.6%) -18.9% -17.4% to -14.6%: 6 occurrences (1.2%) -14.6% to -11.8%: 9 occurrences (1.8%) -11.8% to -8.9%: 30 occurrences (5.9%) -10.3% -8.9% to -6.1%: 40 occurrences (7.9%) -6.1% to -3.2%: 63 occurrences (12.4%) -3.2% to -0.4%: 61 occurrences (12.0%) -1.8% -0.4% to +2.4%: 80 occurrences (15.7%) +2.4% to +5.3%: 73 occurrences (14.4%) +5.3% to +8.1%: 53 occurrences (10.4%) 6.7% +8.1% to +11.0%: 45 occurrences (8.9%) +11.0% to +13.8%: 21 occurrences (4.1%) +13.8% to +16.6%: 7 occurrences (1.4%) 15.2% +16.6% to +19.5%: 7 occurrences (1.4%) +19.5% to +22.3%: 5 occurrences (1.0%) +22.3% to +25.2%: 5 occurrences (1.0%) 23.7%
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) 50.6% 28.9% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 8.6% Adjusts normal bell curve for real-world skewness (-1.09) and kurtosis (13.42).
Standard Normal (Black-Scholes / GBM) 52.4% 26.2% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 50.1% 27.3% Filters for historical windows that started with volatility similar to current 20-day HV (355 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 32.5%
  • Recent 20-Day HV: 32.1%
  • Parkinson Intraday Volatility: 25.4%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: +1.2%
  • Top 10% Move (90th percentile): +10.5%
  • Bottom 10% Move (10th percentile): -8.6%
  • Max Historical Gain (14d): +25.2%
  • Max Historical Loss (14d): -20.3%