Finance

SHAK Move Probability $67.86 -1.92 (-2.8%)

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)
59.1%
Stock touched +5.0% ($71.25) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
30.3%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.95x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±12.7%
$59.23 — $76.48

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%.

-40.5% to -35.9%: 8 occurrences (1.6%) -38.2% -35.9% to -31.3%: 6 occurrences (1.2%) -31.3% to -26.6%: 1 occurrences (0.2%) -26.6% to -22.0%: 10 occurrences (2.0%) -24.3% -22.0% to -17.4%: 10 occurrences (2.0%) -17.4% to -12.7%: 34 occurrences (6.7%) -12.7% to -8.1%: 40 occurrences (7.9%) -10.4% -8.1% to -3.5%: 103 occurrences (20.3%) -3.5% to +1.2%: 92 occurrences (18.1%) +1.2% to +5.8%: 64 occurrences (12.6%) 3.5% +5.8% to +10.4%: 37 occurrences (7.3%) +10.4% to +15.1%: 41 occurrences (8.1%) +15.1% to +19.7%: 26 occurrences (5.1%) 17.4% +19.7% to +24.3%: 15 occurrences (3.0%) +24.3% to +29.0%: 14 occurrences (2.8%) +29.0% to +33.6%: 7 occurrences (1.4%) 31.3%
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) 59.1% 30.3% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 21.0% Adjusts normal bell curve for real-world skewness (-1.86) and kurtosis (18.84).
Standard Normal (Black-Scholes / GBM) 70.1% 35.1% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 58.4% 31.6% Filters for historical windows that started with volatility similar to current 20-day HV (361 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 53.9%
  • Recent 20-Day HV: 41.4%
  • Parkinson Intraday Volatility: 38.4%
  • Vol Trend: Compressed (-23% vs baseline)

14-Day Return Quantiles

  • Median Return: -1.5%
  • Top 10% Move (90th percentile): +17.0%
  • Bottom 10% Move (10th percentile): -14.7%
  • Max Historical Gain (14d): +33.6%
  • Max Historical Loss (14d): -40.5%