Finance

SHMN Move Probability $0.00 -0.00 (-10.0%)

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)
80.5%
Stock touched +5.0% ($0.00) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
36.6%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.20x
You are 2.2x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±38.3%
$0.00 — $0.00

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 486 historical windows (2024-10-22 to 2026-10-20). The colored bar indicates the win zone for +5.0%.

-42.1% to -33.6%: 3 occurrences (0.6%) -37.8% -33.6% to -25.0%: 22 occurrences (4.5%) -25.0% to -16.5%: 52 occurrences (10.7%) -16.5% to -8.0%: 99 occurrences (20.4%) -12.2% -8.0% to +0.6%: 112 occurrences (23.0%) +0.6% to +9.1%: 63 occurrences (13.0%) +9.1% to +17.6%: 56 occurrences (11.5%) 13.4% +17.6% to +26.2%: 26 occurrences (5.3%) +26.2% to +34.7%: 25 occurrences (5.1%) +34.7% to +43.2%: 9 occurrences (1.9%) 39.0% +43.2% to +51.8%: 8 occurrences (1.6%) +51.8% to +60.3%: 4 occurrences (0.8%) +60.3% to +68.8%: 3 occurrences (0.6%) 64.6% +68.8% to +77.4%: 1 occurrences (0.2%) +77.4% to +85.9%: 1 occurrences (0.2%) +85.9% to +94.4%: 2 occurrences (0.4%) 90.2%
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) 80.5% 36.6% Model-free reality across 486 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 40.5% Adjusts normal bell curve for real-world skewness (0.36) and kurtosis (3.57).
Standard Normal (Black-Scholes / GBM) 89.9% 44.9% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 81.0% 35.6% Filters for historical windows that started with volatility similar to current 20-day HV (331 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 162.6%
  • Recent 20-Day HV: 177.3%
  • Parkinson Intraday Volatility: 129.0%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: +0.0%
  • Top 10% Move (90th percentile): +27.5%
  • Bottom 10% Move (10th percentile): -20.0%
  • Max Historical Gain (14d): +94.4%
  • Max Historical Loss (14d): -42.1%