Finance

SMID Move Probability $21.30 -0.80 (-3.6%)

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

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Touch Probability (First Passage)
39.3%
Stock touched +5.0% ($22.37) at least once during 14 trading days.
Median first touch: Day 5 of 14
Expiration Close Probability
24.9%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.58x
You are 1.6x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±11.8%
$18.79 — $23.81

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 507 historical windows (2024-09-23 to 2026-10-20). The colored bar indicates the win zone for +5.0%.

-25.8% to -21.9%: 6 occurrences (1.2%) -23.8% -21.9% to -18.0%: 2 occurrences (0.4%) -18.0% to -14.1%: 18 occurrences (3.6%) -14.1% to -10.1%: 34 occurrences (6.7%) -12.1% -10.1% to -6.2%: 101 occurrences (19.9%) -6.2% to -2.3%: 98 occurrences (19.3%) -2.3% to +1.6%: 80 occurrences (15.8%) -0.4% +1.6% to +5.5%: 48 occurrences (9.5%) +5.5% to +9.4%: 34 occurrences (6.7%) +9.4% to +13.3%: 41 occurrences (8.1%) 11.4% +13.3% to +17.2%: 14 occurrences (2.8%) +17.2% to +21.1%: 7 occurrences (1.4%) +21.1% to +25.0%: 10 occurrences (2.0%) 23.1% +25.0% to +28.9%: 6 occurrences (1.2%) +28.9% to +32.8%: 3 occurrences (0.6%) +32.8% to +36.8%: 5 occurrences (1.0%) 34.8%
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) 39.3% 24.9% Model-free reality across 507 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 22.7% Adjusts normal bell curve for real-world skewness (-0.02) and kurtosis (6.91).
Standard Normal (Black-Scholes / GBM) 67.9% 33.9% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 30.9% 5.9% Filters for historical windows that started with volatility similar to current 20-day HV (68 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 50.0%
  • Recent 20-Day HV: 20.7%
  • Parkinson Intraday Volatility: 12.2%
  • Vol Trend: Compressed (-59% vs baseline)

14-Day Return Quantiles

  • Median Return: -2.8%
  • Top 10% Move (90th percentile): +12.5%
  • Bottom 10% Move (10th percentile): -10.8%
  • Max Historical Gain (14d): +36.8%
  • Max Historical Loss (14d): -25.8%