Finance

SLB Move Probability $52.86 +3.28 (+6.6%)

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)
54.5%
Stock touched +5.0% ($55.50) at least once during 14 trading days.
Median first touch: Day 6 of 14
Expiration Close Probability
31.4%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.74x
You are 1.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±8.6%
$48.33 — $57.39

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 510 historical windows (2024-09-23 to 2026-10-23). The colored bar indicates the win zone for +5.0%.

-22.3% to -19.1%: 7 occurrences (1.4%) -20.7% -19.1% to -15.9%: 12 occurrences (2.4%) -15.9% to -12.8%: 12 occurrences (2.4%) -12.8% to -9.6%: 20 occurrences (3.9%) -11.2% -9.6% to -6.4%: 38 occurrences (7.5%) -6.4% to -3.2%: 55 occurrences (10.8%) -3.2% to -0.1%: 88 occurrences (17.3%) -1.6% -0.1% to +3.1%: 72 occurrences (14.1%) +3.1% to +6.3%: 75 occurrences (14.7%) +6.3% to +9.5%: 66 occurrences (12.9%) 7.9% +9.5% to +12.6%: 38 occurrences (7.5%) +12.6% to +15.8%: 16 occurrences (3.1%) +15.8% to +19.0%: 3 occurrences (0.6%) 17.4% +19.0% to +22.1%: 1 occurrences (0.2%) +22.1% to +25.3%: 5 occurrences (1.0%) +25.3% to +28.5%: 2 occurrences (0.4%) 26.9%
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) 54.5% 31.4% Model-free reality across 510 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 19.9% Adjusts normal bell curve for real-world skewness (0.01) and kurtosis (4.31).
Standard Normal (Black-Scholes / GBM) 56.9% 28.5% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 54.5% 33.8% Filters for historical windows that started with volatility similar to current 20-day HV (400 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 36.4%
  • Recent 20-Day HV: 38.6%
  • Parkinson Intraday Volatility: 29.9%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: +1.0%
  • Top 10% Move (90th percentile): +9.9%
  • Bottom 10% Move (10th percentile): -9.4%
  • Max Historical Gain (14d): +28.5%
  • Max Historical Loss (14d): -22.3%