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)
33.6%
Stock touched +5.0% ($12.76) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
18.2%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
1.84x
You are 1.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±5.9%
$11.44 — $12.86

Historical 1-Day Return Distribution

Frequency of rolling 1-day percentage returns over 521 historical windows (2024-09-23 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-18.1% to -14.6%: 3 occurrences (0.6%) -16.4% -14.6% to -11.1%: 7 occurrences (1.3%) -11.1% to -7.6%: 25 occurrences (4.8%) -7.6% to -4.0%: 59 occurrences (11.3%) -5.8% -4.0% to -0.5%: 134 occurrences (25.7%) -0.5% to +3.0%: 144 occurrences (27.6%) +3.0% to +6.5%: 83 occurrences (15.9%) 4.8% +6.5% to +10.0%: 33 occurrences (6.3%) +10.0% to +13.6%: 15 occurrences (2.9%) +13.6% to +17.1%: 11 occurrences (2.1%) 15.3% +17.1% to +20.6%: 4 occurrences (0.8%) +20.6% to +24.1%: 0 occurrences (0.0%) +24.1% to +27.7%: 2 occurrences (0.4%) 25.9% +27.7% to +31.2%: 0 occurrences (0.0%) +31.2% to +34.7%: 0 occurrences (0.0%) +34.7% to +38.2%: 1 occurrences (0.2%) 36.5%
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) 33.6% 18.2% Model-free reality across 521 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 14.8% Adjusts normal bell curve for real-world skewness (0.51) and kurtosis (2.61).
Standard Normal (Black-Scholes / GBM) 40.4% 20.2% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 34.3% 20.2% Filters for historical windows that started with volatility similar to current 20-day HV (362 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

1-Day Return Quantiles

  • Median Return: +0.0%
  • Top 10% Move (90th percentile): +7.7%
  • Bottom 10% Move (10th percentile): -5.9%
  • Max Historical Gain (1d): +38.2%
  • Max Historical Loss (1d): -18.1%