Finance

SMEV Move Probability $0.01 +0.00 (+0.0%)

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 SMEV Options chain →
Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
56.2%
Stock touched +5.0% ($0.01) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
40.7%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.38x
You are 1.4x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±23.1%
$0.01 — $0.02

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 486 historical windows (2024-10-22 to 2026-10-20). The colored bar indicates the win zone for +5.0%.

-44.7% to -37.8%: 1 occurrences (0.2%) -41.2% -37.8% to -30.8%: 0 occurrences (0.0%) -30.8% to -23.8%: 13 occurrences (2.7%) -23.8% to -16.8%: 20 occurrences (4.1%) -20.3% -16.8% to -9.8%: 37 occurrences (7.6%) -9.8% to -2.8%: 86 occurrences (17.7%) -2.8% to +4.1%: 119 occurrences (24.5%) 0.7% +4.1% to +11.1%: 73 occurrences (15.0%) +11.1% to +18.1%: 44 occurrences (9.1%) +18.1% to +25.1%: 41 occurrences (8.4%) 21.6% +25.1% to +32.1%: 33 occurrences (6.8%) +32.1% to +39.1%: 9 occurrences (1.9%) +39.1% to +46.0%: 0 occurrences (0.0%) 42.6% +46.0% to +53.0%: 2 occurrences (0.4%) +53.0% to +60.0%: 6 occurrences (1.2%) +60.0% to +67.0%: 2 occurrences (0.4%) 63.5%
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) 56.2% 40.7% Model-free reality across 486 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 36.2% Adjusts normal bell curve for real-world skewness (-0.87) and kurtosis (11.61).
Standard Normal (Black-Scholes / GBM) 83.3% 41.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 61.0% 42.2% Filters for historical windows that started with volatility similar to current 20-day HV (249 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 98.1%
  • Recent 20-Day HV: 111.8%
  • Parkinson Intraday Volatility: 140.0%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: +1.1%
  • Top 10% Move (90th percentile): +25.5%
  • Bottom 10% Move (10th percentile): -13.8%
  • Max Historical Gain (14d): +67.0%
  • Max Historical Loss (14d): -44.7%