Finance

SIMA Move Probability $10.92 -0.02 (-0.2%)

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)
4.7%
Stock touched +5.0% ($11.47) at least once during 14 trading days.
Median first touch: Day 7 of 14
Expiration Close Probability
3.1%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.50x
You are 1.5x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±1.7%
$10.73 — $11.11

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%.

-4.6% to -3.9%: 5 occurrences (1.0%) -4.2% -3.9% to -3.2%: 12 occurrences (2.4%) -3.2% to -2.6%: 2 occurrences (0.4%) -2.6% to -1.9%: 0 occurrences (0.0%) -2.2% -1.9% to -1.2%: 4 occurrences (0.8%) -1.2% to -0.6%: 26 occurrences (5.1%) -0.6% to +0.1%: 197 occurrences (38.8%) -0.2% +0.1% to +0.7%: 169 occurrences (33.3%) +0.7% to +1.4%: 57 occurrences (11.2%) +1.4% to +2.1%: 17 occurrences (3.3%) 1.7% +2.1% to +2.7%: 0 occurrences (0.0%) +2.7% to +3.4%: 0 occurrences (0.0%) +3.4% to +4.1%: 0 occurrences (0.0%) 3.7% +4.1% to +4.7%: 3 occurrences (0.6%) +4.7% to +5.4%: 1 occurrences (0.2%) +5.4% to +6.1%: 15 occurrences (3.0%) 5.7%
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) 4.7% 3.1% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 100.0% Adjusts normal bell curve for real-world skewness (1.97) and kurtosis (81.26).
Standard Normal (Black-Scholes / GBM) 0.5% 0.2% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 15.4% 5.1% Filters for historical windows that started with volatility similar to current 20-day HV (39 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 7.4%
  • Recent 20-Day HV: 4.7%
  • Parkinson Intraday Volatility: 2.2%
  • Vol Trend: Compressed (-37% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.1%
  • Top 10% Move (90th percentile): +1.3%
  • Bottom 10% Move (10th percentile): -0.4%
  • Max Historical Gain (14d): +6.1%
  • Max Historical Loss (14d): -4.6%