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.

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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
28.5%
Stock touched +5.0% ($38.70) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
15.8%
Stock closed at or beyond +5.0% at the end of the 1-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%)
±12.0%
$32.42 — $41.29

Historical 1-Day Return Distribution

Frequency of rolling 1-day percentage returns over 520 historical windows (2024-08-19 to 2026-09-16). The colored bar indicates the win zone for +5.0%.

-32.9% to +20.2%: 515 occurrences (99.0%) -6.3% +20.2% to +73.4%: 3 occurrences (0.6%) +73.4% to +126.6%: 1 occurrences (0.2%) +126.6% to +179.8%: 0 occurrences (0.0%) 153.2% +179.8% to +232.9%: 0 occurrences (0.0%) +232.9% to +286.1%: 0 occurrences (0.0%) +286.1% to +339.3%: 0 occurrences (0.0%) 312.7% +339.3% to +392.5%: 0 occurrences (0.0%) +392.5% to +445.6%: 0 occurrences (0.0%) +445.6% to +498.8%: 0 occurrences (0.0%) 472.2% +498.8% to +552.0%: 0 occurrences (0.0%) +552.0% to +605.2%: 0 occurrences (0.0%) +605.2% to +658.3%: 0 occurrences (0.0%) 631.7% +658.3% to +711.5%: 0 occurrences (0.0%) +711.5% to +764.7%: 0 occurrences (0.0%) +764.7% to +817.9%: 1 occurrences (0.2%) 791.3%
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) 28.5% 15.8% Model-free reality across 520 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 0.0% Adjusts normal bell curve for real-world skewness (12.39) and kurtosis (220.3).
Standard Normal (Black-Scholes / GBM) 68.5% 34.3% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 23.6% 11.6% Filters for historical windows that started with volatility similar to current 20-day HV (267 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)

1-Day Return Quantiles

  • Median Return: +0.0%
  • Top 10% Move (90th percentile): +7.6%
  • Bottom 10% Move (10th percentile): -5.9%
  • Max Historical Gain (1d): +817.9%
  • Max Historical Loss (1d): -32.9%