Finance

SMCI Move Probability $36.85 +1.21 (+3.4%)

Real historical back-data analysis: evaluates rolling trading-day windows to determine the probability of a stock touching or closing at your target move.

← Back to SMCI Options chain →
Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
79.1%
Stock touched +5.0% ($38.70) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
44.2%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.79x
You are 1.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±45.0%
$20.26 — $53.45

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 507 historical windows (2024-08-19 to 2026-09-16). The colored bar indicates the win zone for +5.0%.

-62.0% to +74.8%: 481 occurrences (94.9%) 6.4% +74.8% to +211.6%: 12 occurrences (2.4%) +211.6% to +348.4%: 0 occurrences (0.0%) +348.4% to +485.2%: 0 occurrences (0.0%) 416.8% +485.2% to +622.0%: 0 occurrences (0.0%) +622.0% to +758.8%: 0 occurrences (0.0%) +758.8% to +895.6%: 0 occurrences (0.0%) 827.2% +895.6% to +1032.4%: 1 occurrences (0.2%) +1032.4% to +1169.2%: 0 occurrences (0.0%) +1169.2% to +1306.0%: 0 occurrences (0.0%) 1237.6% +1306.0% to +1442.8%: 0 occurrences (0.0%) +1442.8% to +1579.6%: 0 occurrences (0.0%) +1579.6% to +1716.4%: 0 occurrences (0.0%) 1648.0% +1716.4% to +1853.2%: 3 occurrences (0.6%) +1853.2% to +1990.0%: 5 occurrences (1.0%) +1990.0% to +2126.8%: 5 occurrences (1.0%) 2058.4%
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) 79.1% 44.2% Model-free reality across 507 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 0.2% Adjusts normal bell curve for real-world skewness (12.39) and kurtosis (220.3).
Standard Normal (Black-Scholes / GBM) 91.4% 45.7% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 79.1% 49.6% Filters for historical windows that started with volatility similar to current 20-day HV (254 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 191.1%
  • Recent 20-Day HV: 68.6%
  • Parkinson Intraday Volatility: 69.5%
  • Vol Trend: Compressed (-64% vs baseline)

14-Day Return Quantiles

  • Median Return: +2.6%
  • Top 10% Move (90th percentile): +30.6%
  • Bottom 10% Move (10th percentile): -24.5%
  • Max Historical Gain (14d): +2126.8%
  • Max Historical Loss (14d): -62.0%