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)
10.0%
Stock touched +5.0% ($71.25) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
5.6%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
1.79x
You are 1.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±3.4%
$65.55 — $70.16

Historical 1-Day Return Distribution

Frequency of rolling 1-day percentage returns over 521 historical windows (2024-09-23 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-28.4% to -25.6%: 1 occurrences (0.2%) -27.0% -25.6% to -22.9%: 0 occurrences (0.0%) -22.9% to -20.2%: 0 occurrences (0.0%) -20.2% to -17.4%: 0 occurrences (0.0%) -18.8% -17.4% to -14.7%: 0 occurrences (0.0%) -14.7% to -12.0%: 3 occurrences (0.6%) -12.0% to -9.2%: 0 occurrences (0.0%) -10.6% -9.2% to -6.5%: 7 occurrences (1.3%) -6.5% to -3.8%: 25 occurrences (4.8%) -3.8% to -1.0%: 149 occurrences (28.6%) -2.4% -1.0% to +1.7%: 204 occurrences (39.2%) +1.7% to +4.4%: 98 occurrences (18.8%) +4.4% to +7.2%: 25 occurrences (4.8%) 5.8% +7.2% to +9.9%: 6 occurrences (1.2%) +9.9% to +12.6%: 2 occurrences (0.4%) +12.6% to +15.4%: 1 occurrences (0.2%) 14.0%
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) 10.0% 5.6% Model-free reality across 521 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 0.3% Adjusts normal bell curve for real-world skewness (-1.86) and kurtosis (18.84).
Standard Normal (Black-Scholes / GBM) 15.1% 7.5% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 9.6% 5.6% Filters for historical windows that started with volatility similar to current 20-day HV (374 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)

1-Day Return Quantiles

  • Median Return: -0.1%
  • Top 10% Move (90th percentile): +3.4%
  • Bottom 10% Move (10th percentile): -3.2%
  • Max Historical Gain (1d): +15.4%
  • Max Historical Loss (1d): -28.4%