SMCI Move Probability $31.13 -1.83 (-5.6%)
Real historical back-data analysis: evaluates rolling trading-day windows to determine the probability of a stock touching or closing at your target move.
Touch Probability (First Passage)
78.3%
Stock touched -3.5% ($30.04) at least once during 10 trading days.
Median first touch: Day 2 of 10
Expiration Close Probability
35.5%
Stock closed at or beyond -3.5% at the end of the 10-day window.
The Touch Multiple
2.20x
You are 2.2x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±38.0%
$19.32 — $42.94
Historical 10-Day Return Distribution
Frequency of rolling 10-day percentage returns over 512 historical windows (2024-10-03 to 2026-11-02). The colored bar indicates the win zone for -3.5%.
Historical returns
Target move zone (-3.5%+)
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) | 78.3% | 35.5% | Model-free reality across 512 historical 10-day windows. |
| Fat-Tail Adjusted (Cornish-Fisher) | — | 91.7% | Adjusts normal bell curve for real-world skewness (12.48) and kurtosis (222.4). |
| Standard Normal (Black-Scholes / GBM) | 92.5% | 46.3% | Classic theoretical log-normal model with constant volatility (often underestimates tail risks). |
| Regime-Conditioned (Similar Volatility) | 76.5% | 31.9% | Filters for historical windows that started with volatility similar to current 20-day HV (298 matching periods). |
Underlying Volatility Profile
Volatility Metrics
- 1-Year Annualized HV: 190.5%
- Recent 20-Day HV: 76.5%
- Parkinson Intraday Volatility: 68.0%
- Vol Trend: Compressed (-60% vs baseline)
10-Day Return Quantiles
- Median Return: +1.1%
- Top 10% Move (90th percentile): +28.7%
- Bottom 10% Move (10th percentile): -21.1%
- Max Historical Gain (10d): +2070.9%
- Max Historical Loss (10d): -56.1%