Finance

SLB Move Probability $52.88 +3.30 (+6.7%)

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)
3.4%
Stock touched +5.0% ($55.52) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
1.9%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
1.80x
You are 1.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±2.3%
$51.67 — $54.09

Historical 1-Day Return Distribution

Frequency of rolling 1-day percentage returns over 523 historical windows (2024-09-23 to 2026-10-23). The colored bar indicates the win zone for +5.0%.

-11.3% to -9.8%: 1 occurrences (0.2%) -10.5% -9.8% to -8.3%: 1 occurrences (0.2%) -8.3% to -6.8%: 2 occurrences (0.4%) -6.8% to -5.3%: 2 occurrences (0.4%) -6.1% -5.3% to -3.8%: 18 occurrences (3.4%) -3.8% to -2.4%: 31 occurrences (5.9%) -2.4% to -0.9%: 93 occurrences (17.8%) -1.6% -0.9% to +0.6%: 186 occurrences (35.6%) +0.6% to +2.1%: 110 occurrences (21.0%) +2.1% to +3.6%: 55 occurrences (10.5%) 2.8% +3.6% to +5.1%: 14 occurrences (2.7%) +5.1% to +6.6%: 5 occurrences (1.0%) +6.6% to +8.0%: 2 occurrences (0.4%) 7.3% +8.0% to +9.5%: 1 occurrences (0.2%) +9.5% to +11.0%: 0 occurrences (0.0%) +11.0% to +12.5%: 2 occurrences (0.4%) 11.7%
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) 3.4% 1.9% Model-free reality across 523 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 6.3% Adjusts normal bell curve for real-world skewness (0.01) and kurtosis (4.31).
Standard Normal (Black-Scholes / GBM) 3.3% 1.7% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 3.6% 1.7% Filters for historical windows that started with volatility similar to current 20-day HV (413 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

1-Day Return Quantiles

  • Median Return: -0.0%
  • Top 10% Move (90th percentile): +2.7%
  • Bottom 10% Move (10th percentile): -2.5%
  • Max Historical Gain (1d): +12.5%
  • Max Historical Loss (1d): -11.3%