Finance

SKYE Move Probability $1.65 +0.01 (+0.6%)

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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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
72.2%
Stock touched +5.0% ($1.73) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
27.6%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.62x
You are 2.6x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±28.3%
$1.18 — $2.12

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%.

-68.7% to -57.3%: 13 occurrences (2.6%) -63.0% -57.3% to -45.9%: 16 occurrences (3.1%) -45.9% to -34.5%: 17 occurrences (3.3%) -34.5% to -23.2%: 36 occurrences (7.1%) -28.9% -23.2% to -11.8%: 102 occurrences (20.1%) -11.8% to -0.4%: 136 occurrences (26.8%) -0.4% to +11.0%: 84 occurrences (16.5%) 5.3% +11.0% to +22.3%: 45 occurrences (8.9%) +22.3% to +33.7%: 24 occurrences (4.7%) +33.7% to +45.1%: 14 occurrences (2.8%) 39.4% +45.1% to +56.5%: 5 occurrences (1.0%) +56.5% to +67.9%: 6 occurrences (1.2%) +67.9% to +79.2%: 2 occurrences (0.4%) 73.6% +79.2% to +90.6%: 2 occurrences (0.4%) +90.6% to +102.0%: 2 occurrences (0.4%) +102.0% to +113.4%: 4 occurrences (0.8%) 107.7%
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) 72.2% 27.6% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 37.5% Adjusts normal bell curve for real-world skewness (-2.81) and kurtosis (36.95).
Standard Normal (Black-Scholes / GBM) 86.3% 43.1% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 74.4% 26.2% Filters for historical windows that started with volatility similar to current 20-day HV (160 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 119.9%
  • Recent 20-Day HV: 61.1%
  • Parkinson Intraday Volatility: 88.4%
  • Vol Trend: Compressed (-49% vs baseline)

14-Day Return Quantiles

  • Median Return: -6.8%
  • Top 10% Move (90th percentile): +25.0%
  • Bottom 10% Move (10th percentile): -32.7%
  • Max Historical Gain (14d): +113.4%
  • Max Historical Loss (14d): -68.7%