Finance

SHO Move Probability $12.61 +0.22 (+1.8%)

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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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
42.1%
Stock touched +5.0% ($13.24) at least once during 14 trading days.
Median first touch: Day 7 of 14
Expiration Close Probability
19.9%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.12x
You are 2.1x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±6.5%
$11.79 — $13.43

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%.

-20.9% to -18.2%: 1 occurrences (0.2%) -19.6% -18.2% to -15.5%: 1 occurrences (0.2%) -15.5% to -12.8%: 9 occurrences (1.8%) -12.8% to -10.1%: 7 occurrences (1.4%) -11.5% -10.1% to -7.4%: 8 occurrences (1.6%) -7.4% to -4.7%: 52 occurrences (10.2%) -4.7% to -2.0%: 72 occurrences (14.2%) -3.3% -2.0% to +0.7%: 113 occurrences (22.2%) +0.7% to +3.4%: 101 occurrences (19.9%) +3.4% to +6.1%: 68 occurrences (13.4%) 4.8% +6.1% to +8.8%: 41 occurrences (8.1%) +8.8% to +11.5%: 18 occurrences (3.5%) +11.5% to +14.3%: 7 occurrences (1.4%) 12.9% +14.3% to +17.0%: 3 occurrences (0.6%) +17.0% to +19.7%: 3 occurrences (0.6%) +19.7% to +22.4%: 4 occurrences (0.8%) 21.0%
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) 42.1% 19.9% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 11.7% Adjusts normal bell curve for real-world skewness (0.41) and kurtosis (5.62).
Standard Normal (Black-Scholes / GBM) 45.5% 22.7% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 41.9% 21.1% Filters for historical windows that started with volatility similar to current 20-day HV (298 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 27.7%
  • Recent 20-Day HV: 20.0%
  • Parkinson Intraday Volatility: 23.6%
  • Vol Trend: Compressed (-28% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.5%
  • Top 10% Move (90th percentile): +7.6%
  • Bottom 10% Move (10th percentile): -5.9%
  • Max Historical Gain (14d): +22.4%
  • Max Historical Loss (14d): -20.9%