Finance

SLS Move Probability $12.15 +0.16 (+1.3%)

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)
80.7%
Stock touched +5.0% ($12.76) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
44.9%
Stock closed at or beyond +5.0% at the end of the 14-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%)
±21.9%
$9.49 — $14.81

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%.

-31.2% to -20.2%: 34 occurrences (6.7%) -25.7% -20.2% to -9.1%: 95 occurrences (18.7%) -9.1% to +1.9%: 117 occurrences (23.0%) +1.9% to +12.9%: 89 occurrences (17.5%) 7.4% +12.9% to +23.9%: 65 occurrences (12.8%) +23.9% to +35.0%: 33 occurrences (6.5%) +35.0% to +46.0%: 21 occurrences (4.1%) 40.5% +46.0% to +57.0%: 18 occurrences (3.5%) +57.0% to +68.0%: 12 occurrences (2.4%) +68.0% to +79.1%: 7 occurrences (1.4%) 73.5% +79.1% to +90.1%: 10 occurrences (2.0%) +90.1% to +101.1%: 5 occurrences (1.0%) +101.1% to +112.1%: 0 occurrences (0.0%) 106.6% +112.1% to +123.2%: 1 occurrences (0.2%) +123.2% to +134.2%: 0 occurrences (0.0%) +134.2% to +145.2%: 1 occurrences (0.2%) 139.7%
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) 80.7% 44.9% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 35.7% Adjusts normal bell curve for real-world skewness (0.51) and kurtosis (2.61).
Standard Normal (Black-Scholes / GBM) 82.4% 41.2% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 83.2% 51.3% Filters for historical windows that started with volatility similar to current 20-day HV (351 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 92.9%
  • Recent 20-Day HV: 89.1%
  • Parkinson Intraday Volatility: 86.0%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: +2.6%
  • Top 10% Move (90th percentile): +48.2%
  • Bottom 10% Move (10th percentile): -17.2%
  • Max Historical Gain (14d): +145.2%
  • Max Historical Loss (14d): -31.2%