Finance

SHFS Move Probability $0.15 +0.06 (+71.2%)

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)
63.4%
Stock touched +5.0% ($0.16) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
24.8%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.56x
You are 2.6x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±39.6%
$0.09 — $0.21

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%.

-75.9% to -65.8%: 4 occurrences (0.8%) -70.9% -65.8% to -55.7%: 17 occurrences (3.3%) -55.7% to -45.6%: 23 occurrences (4.5%) -45.6% to -35.5%: 40 occurrences (7.9%) -40.6% -35.5% to -25.4%: 43 occurrences (8.5%) -25.4% to -15.3%: 66 occurrences (13.0%) -15.3% to -5.2%: 110 occurrences (21.7%) -10.2% -5.2% to +4.9%: 79 occurrences (15.6%) +4.9% to +15.0%: 41 occurrences (8.1%) +15.0% to +25.1%: 30 occurrences (5.9%) 20.1% +25.1% to +35.2%: 14 occurrences (2.8%) +35.2% to +45.4%: 9 occurrences (1.8%) +45.4% to +55.5%: 17 occurrences (3.3%) 50.4% +55.5% to +65.6%: 5 occurrences (1.0%) +65.6% to +75.7%: 6 occurrences (1.2%) +75.7% to +85.8%: 4 occurrences (0.8%) 80.7%
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) 63.4% 24.8% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 25.0% Adjusts normal bell curve for real-world skewness (1.92) and kurtosis (19.45).
Standard Normal (Black-Scholes / GBM) 90.2% 45.1% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 25.0% 0.0% Filters for historical windows that started with volatility similar to current 20-day HV (20 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 167.9%
  • Recent 20-Day HV: 459.6%
  • Parkinson Intraday Volatility: 83.3%
  • Vol Trend: Expanded (+174% vs baseline)

14-Day Return Quantiles

  • Median Return: -10.1%
  • Top 10% Move (90th percentile): +26.8%
  • Bottom 10% Move (10th percentile): -44.4%
  • Max Historical Gain (14d): +85.8%
  • Max Historical Loss (14d): -75.9%