Finance

SIEB Move Probability $1.86 -0.05 (-2.6%)

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)
60.6%
Stock touched +5.0% ($1.95) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
35.8%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.69x
You are 1.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±14.6%
$1.59 — $2.13

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%.

-37.6% to -32.2%: 4 occurrences (0.8%) -34.9% -32.2% to -26.7%: 12 occurrences (2.4%) -26.7% to -21.3%: 12 occurrences (2.4%) -21.3% to -15.8%: 35 occurrences (6.9%) -18.6% -15.8% to -10.4%: 65 occurrences (12.8%) -10.4% to -5.0%: 61 occurrences (12.0%) -5.0% to +0.5%: 83 occurrences (16.3%) -2.2% +0.5% to +5.9%: 65 occurrences (12.8%) +5.9% to +11.4%: 51 occurrences (10.0%) +11.4% to +16.8%: 42 occurrences (8.3%) 14.1% +16.8% to +22.2%: 22 occurrences (4.3%) +22.2% to +27.7%: 19 occurrences (3.7%) +27.7% to +33.1%: 22 occurrences (4.3%) 30.4% +33.1% to +38.6%: 10 occurrences (2.0%) +38.6% to +44.0%: 3 occurrences (0.6%) +44.0% to +49.5%: 2 occurrences (0.4%) 46.7%
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) 60.6% 35.8% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 33.3% Adjusts normal bell curve for real-world skewness (0.07) and kurtosis (2.21).
Standard Normal (Black-Scholes / GBM) 73.8% 36.9% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 62.7% 41.5% Filters for historical windows that started with volatility similar to current 20-day HV (142 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 62.0%
  • Recent 20-Day HV: 36.3%
  • Parkinson Intraday Volatility: 29.9%
  • Vol Trend: Compressed (-41% vs baseline)

14-Day Return Quantiles

  • Median Return: -0.7%
  • Top 10% Move (90th percentile): +23.2%
  • Bottom 10% Move (10th percentile): -16.9%
  • Max Historical Gain (14d): +49.5%
  • Max Historical Loss (14d): -37.6%