Finance

SHEL Move Probability $105.38 -0.17 (-0.2%)

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)
1.2%
Stock touched +5.0% ($110.65) at least once during 2 trading days.
Median first touch: Day 2 of 2
Expiration Close Probability
0.4%
Stock closed at or beyond +5.0% at the end of the 2-day window.
The Touch Multiple
3.00x
You are 3.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±2.0%
$103.22 — $107.54

Historical 2-Day Return Distribution

Frequency of rolling 2-day percentage returns over 520 historical windows (2024-09-23 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-11.8% to -10.7%: 1 occurrences (0.2%) -11.3% -10.7% to -9.7%: 1 occurrences (0.2%) -9.7% to -8.6%: 0 occurrences (0.0%) -8.6% to -7.6%: 0 occurrences (0.0%) -8.1% -7.6% to -6.5%: 1 occurrences (0.2%) -6.5% to -5.4%: 2 occurrences (0.4%) -5.4% to -4.4%: 3 occurrences (0.6%) -4.9% -4.4% to -3.3%: 12 occurrences (2.3%) -3.3% to -2.2%: 34 occurrences (6.5%) -2.2% to -1.2%: 52 occurrences (10.0%) -1.7% -1.2% to -0.1%: 101 occurrences (19.4%) -0.1% to +1.0%: 135 occurrences (26.0%) +1.0% to +2.0%: 95 occurrences (18.3%) 1.5% +2.0% to +3.1%: 48 occurrences (9.2%) +3.1% to +4.1%: 28 occurrences (5.4%) +4.1% to +5.2%: 7 occurrences (1.3%) 4.7%
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) 1.2% 0.4% Model-free reality across 520 historical 2-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 2.3% Adjusts normal bell curve for real-world skewness (-0.65) and kurtosis (4.02).
Standard Normal (Black-Scholes / GBM) 1.7% 0.9% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 0.7% 0.5% Filters for historical windows that started with volatility similar to current 20-day HV (401 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 23.0%
  • Recent 20-Day HV: 19.5%
  • Parkinson Intraday Volatility: 15.2%
  • Vol Trend: Normal / Consistent

2-Day Return Quantiles

  • Median Return: +0.3%
  • Top 10% Move (90th percentile): +2.6%
  • Bottom 10% Move (10th percentile): -2.2%
  • Max Historical Gain (2d): +5.2%
  • Max Historical Loss (2d): -11.8%