Finance

SI Move Probability $19.35 +0.67 (+3.6%)

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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Touch Probability (First Passage)
67.5%
Stock touched +5.0% ($20.32) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
33.9%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.99x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±17.0%
$16.06 — $22.64

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 295 historical windows (2025-07-31 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-24.3% to -19.1%: 6 occurrences (2.0%) -21.7% -19.1% to -14.0%: 22 occurrences (7.5%) -14.0% to -8.8%: 28 occurrences (9.5%) -8.8% to -3.6%: 41 occurrences (13.9%) -6.2% -3.6% to +1.5%: 61 occurrences (20.7%) +1.5% to +6.7%: 50 occurrences (16.9%) +6.7% to +11.8%: 26 occurrences (8.8%) 9.3% +11.8% to +17.0%: 21 occurrences (7.1%) +17.0% to +22.2%: 15 occurrences (5.1%) +22.2% to +27.3%: 10 occurrences (3.4%) 24.8% +27.3% to +32.5%: 7 occurrences (2.4%) +32.5% to +37.7%: 0 occurrences (0.0%) +37.7% to +42.8%: 3 occurrences (1.0%) 40.3% +42.8% to +48.0%: 2 occurrences (0.7%) +48.0% to +53.2%: 2 occurrences (0.7%) +53.2% to +58.3%: 1 occurrences (0.3%) 55.8%
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) 67.5% 33.9% Model-free reality across 295 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 23.9% Adjusts normal bell curve for real-world skewness (1.41) and kurtosis (8.11).
Standard Normal (Black-Scholes / GBM) 77.4% 38.7% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 63.7% 31.4% Filters for historical windows that started with volatility similar to current 20-day HV (102 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 72.1%
  • Recent 20-Day HV: 43.0%
  • Parkinson Intraday Volatility: 43.5%
  • Vol Trend: Compressed (-40% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.5%
  • Top 10% Move (90th percentile): +20.5%
  • Bottom 10% Move (10th percentile): -12.5%
  • Max Historical Gain (14d): +58.3%
  • Max Historical Loss (14d): -24.3%