Finance

SJT Move Probability $3.38 -0.08 (-2.3%)

Real historical back-data analysis: evaluates rolling trading-day windows to determine the probability of a stock touching or closing at your target move.

← Back to SJT Options chain →
Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
59.1%
Stock touched +5.0% ($3.55) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
30.1%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.96x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±11.0%
$3.01 — $3.75

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%.

-24.2% to -19.7%: 9 occurrences (1.8%) -21.9% -19.7% to -15.1%: 13 occurrences (2.6%) -15.1% to -10.6%: 35 occurrences (6.9%) -10.6% to -6.0%: 90 occurrences (17.7%) -8.3% -6.0% to -1.4%: 86 occurrences (16.9%) -1.4% to +3.1%: 94 occurrences (18.5%) +3.1% to +7.7%: 67 occurrences (13.2%) 5.4% +7.7% to +12.2%: 48 occurrences (9.4%) +12.2% to +16.8%: 28 occurrences (5.5%) +16.8% to +21.3%: 19 occurrences (3.7%) 19.1% +21.3% to +25.9%: 8 occurrences (1.6%) +25.9% to +30.5%: 7 occurrences (1.4%) +30.5% to +35.0%: 3 occurrences (0.6%) 32.7% +35.0% to +39.6%: 0 occurrences (0.0%) +39.6% to +44.1%: 0 occurrences (0.0%) +44.1% to +48.7%: 1 occurrences (0.2%) 46.4%
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) 59.1% 30.1% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 27.7% Adjusts normal bell curve for real-world skewness (0.25) and kurtosis (2.3).
Standard Normal (Black-Scholes / GBM) 65.8% 32.9% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 81.0% 47.6% Filters for historical windows that started with volatility similar to current 20-day HV (21 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 46.7%
  • Recent 20-Day HV: 92.4%
  • Parkinson Intraday Volatility: 36.4%
  • Vol Trend: Expanded (+98% vs baseline)

14-Day Return Quantiles

  • Median Return: -0.5%
  • Top 10% Move (90th percentile): +14.7%
  • Bottom 10% Move (10th percentile): -11.0%
  • Max Historical Gain (14d): +48.7%
  • Max Historical Loss (14d): -24.2%