Finance

SLDB Move Probability $5.46 -0.36 (-6.1%)

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)
44.2%
Stock touched +5.0% ($5.74) at least once during 2 trading days.
Median first touch: Day 1 of 2
Expiration Close Probability
23.5%
Stock closed at or beyond +5.0% at the end of the 2-day window.
The Touch Multiple
1.89x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±7.9%
$5.03 — $5.90

Historical 2-Day Return Distribution

Frequency of rolling 2-day percentage returns over 520 historical windows (2024-09-16 to 2026-10-14). The colored bar indicates the win zone for +5.0%.

-39.2% to -32.9%: 1 occurrences (0.2%) -36.0% -32.9% to -26.7%: 0 occurrences (0.0%) -26.7% to -20.4%: 2 occurrences (0.4%) -20.4% to -14.2%: 14 occurrences (2.7%) -17.3% -14.2% to -8.0%: 37 occurrences (7.1%) -8.0% to -1.7%: 157 occurrences (30.2%) -1.7% to +4.5%: 181 occurrences (34.8%) 1.4% +4.5% to +10.7%: 87 occurrences (16.7%) +10.7% to +17.0%: 27 occurrences (5.2%) +17.0% to +23.2%: 9 occurrences (1.7%) 20.1% +23.2% to +29.4%: 0 occurrences (0.0%) +29.4% to +35.7%: 2 occurrences (0.4%) +35.7% to +41.9%: 1 occurrences (0.2%) 38.8% +41.9% to +48.1%: 1 occurrences (0.2%) +48.1% to +54.4%: 0 occurrences (0.0%) +54.4% to +60.6%: 1 occurrences (0.2%) 57.5%
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) 44.2% 23.5% Model-free reality across 520 historical 2-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 20.2% Adjusts normal bell curve for real-world skewness (0.23) and kurtosis (2.95).
Standard Normal (Black-Scholes / GBM) 53.8% 26.9% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 41.8% 21.2% Filters for historical windows that started with volatility similar to current 20-day HV (392 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 89.0%
  • Recent 20-Day HV: 70.5%
  • Parkinson Intraday Volatility: 74.0%
  • Vol Trend: Compressed (-21% vs baseline)

2-Day Return Quantiles

  • Median Return: -0.4%
  • Top 10% Move (90th percentile): +9.7%
  • Bottom 10% Move (10th percentile): -8.1%
  • Max Historical Gain (2d): +60.6%
  • Max Historical Loss (2d): -39.2%