Finance

SLDB Move Probability $5.85 -0.84 (-12.6%)

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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Touch Probability (First Passage)
74.2%
Stock touched +5.0% ($6.14) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
37.6%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.97x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±21.0%
$4.62 — $7.08

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 508 historical windows (2024-09-13 to 2026-10-13). The colored bar indicates the win zone for +5.0%.

-44.4% to -35.7%: 12 occurrences (2.4%) -40.0% -35.7% to -26.9%: 20 occurrences (3.9%) -26.9% to -18.2%: 45 occurrences (8.9%) -18.2% to -9.5%: 103 occurrences (20.3%) -13.9% -9.5% to -0.8%: 95 occurrences (18.7%) -0.8% to +8.0%: 58 occurrences (11.4%) +8.0% to +16.7%: 61 occurrences (12.0%) 12.3% +16.7% to +25.4%: 41 occurrences (8.1%) +25.4% to +34.1%: 24 occurrences (4.7%) +34.1% to +42.8%: 16 occurrences (3.1%) 38.5% +42.8% to +51.6%: 7 occurrences (1.4%) +51.6% to +60.3%: 9 occurrences (1.8%) +60.3% to +69.0%: 8 occurrences (1.6%) 64.7% +69.0% to +77.7%: 5 occurrences (1.0%) +77.7% to +86.5%: 2 occurrences (0.4%) +86.5% to +95.2%: 2 occurrences (0.4%) 90.8%
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) 74.2% 37.6% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 36.2% Adjusts normal bell curve for real-world skewness (0.24) and kurtosis (2.95).
Standard Normal (Black-Scholes / GBM) 81.6% 40.8% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 74.0% 35.7% Filters for historical windows that started with volatility similar to current 20-day HV (389 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 88.9%
  • Recent 20-Day HV: 71.4%
  • Parkinson Intraday Volatility: 74.0%
  • Vol Trend: Compressed (-20% vs baseline)

14-Day Return Quantiles

  • Median Return: -3.0%
  • Top 10% Move (90th percentile): +33.6%
  • Bottom 10% Move (10th percentile): -22.6%
  • Max Historical Gain (14d): +95.2%
  • Max Historical Loss (14d): -44.4%