Finance

SHLS Move Probability $7.95 +0.49 (+6.5%)

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)
82.7%
Stock touched +5.0% ($8.35) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
46.3%
Stock closed at or beyond +5.0% at the end of the 14-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%)
±20.6%
$6.32 — $9.58

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%.

-46.3% to -38.3%: 9 occurrences (1.8%) -42.3% -38.3% to -30.3%: 9 occurrences (1.8%) -30.3% to -22.3%: 23 occurrences (4.5%) -22.3% to -14.3%: 59 occurrences (11.6%) -18.3% -14.3% to -6.3%: 60 occurrences (11.8%) -6.3% to +1.7%: 70 occurrences (13.8%) +1.7% to +9.8%: 97 occurrences (19.1%) 5.8% +9.8% to +17.8%: 93 occurrences (18.3%) +17.8% to +25.8%: 41 occurrences (8.1%) +25.8% to +33.8%: 20 occurrences (3.9%) 29.8% +33.8% to +41.8%: 11 occurrences (2.2%) +41.8% to +49.8%: 9 occurrences (1.8%) +49.8% to +57.8%: 4 occurrences (0.8%) 53.8% +57.8% to +65.8%: 1 occurrences (0.2%) +65.8% to +73.9%: 0 occurrences (0.0%) +73.9% to +81.9%: 2 occurrences (0.4%) 77.9%
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) 82.7% 46.3% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 39.4% Adjusts normal bell curve for real-world skewness (-0.77) and kurtosis (5.93).
Standard Normal (Black-Scholes / GBM) 81.2% 40.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 87.7% 56.5% Filters for historical windows that started with volatility similar to current 20-day HV (269 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 87.2%
  • Recent 20-Day HV: 62.7%
  • Parkinson Intraday Volatility: 71.7%
  • Vol Trend: Compressed (-28% vs baseline)

14-Day Return Quantiles

  • Median Return: +3.5%
  • Top 10% Move (90th percentile): +24.4%
  • Bottom 10% Move (10th percentile): -20.2%
  • Max Historical Gain (14d): +81.9%
  • Max Historical Loss (14d): -46.3%