Finance

SMCI Move Probability $31.18 -1.78 (-5.4%)

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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Touch Probability (First Passage)
56.4%
Stock touched +5.0% ($32.74) at least once during 4 trading days.
Median first touch: Day 2 of 4
Expiration Close Probability
29.0%
Stock closed at or beyond +5.0% at the end of the 4-day window.
The Touch Multiple
1.95x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±24.0%
$23.70 — $38.67

Historical 4-Day Return Distribution

Frequency of rolling 4-day percentage returns over 518 historical windows (2024-10-03 to 2026-11-02). The colored bar indicates the win zone for +5.0%.

-47.0% to +94.3%: 513 occurrences (99.0%) 23.7% +94.3% to +235.6%: 1 occurrences (0.2%) +235.6% to +376.8%: 0 occurrences (0.0%) +376.8% to +518.1%: 0 occurrences (0.0%) 447.4% +518.1% to +659.3%: 0 occurrences (0.0%) +659.3% to +800.6%: 0 occurrences (0.0%) +800.6% to +941.8%: 0 occurrences (0.0%) 871.2% +941.8% to +1083.1%: 1 occurrences (0.2%) +1083.1% to +1224.3%: 0 occurrences (0.0%) +1224.3% to +1365.6%: 0 occurrences (0.0%) 1295.0% +1365.6% to +1506.9%: 0 occurrences (0.0%) +1506.9% to +1648.1%: 0 occurrences (0.0%) +1648.1% to +1789.4%: 0 occurrences (0.0%) 1718.7% +1789.4% to +1930.6%: 1 occurrences (0.2%) +1930.6% to +2071.9%: 0 occurrences (0.0%) +2071.9% to +2213.1%: 2 occurrences (0.4%) 2142.5%
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) 56.4% 29.0% Model-free reality across 518 historical 4-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 0.0% Adjusts normal bell curve for real-world skewness (12.48) and kurtosis (222.4).
Standard Normal (Black-Scholes / GBM) 83.9% 41.9% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 54.6% 29.6% Filters for historical windows that started with volatility similar to current 20-day HV (304 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)

4-Day Return Quantiles

  • Median Return: +0.0%
  • Top 10% Move (90th percentile): +16.7%
  • Bottom 10% Move (10th percentile): -13.0%
  • Max Historical Gain (4d): +2213.1%
  • Max Historical Loss (4d): -47.0%