Finance

SMMT Move Probability $15.48 -0.34 (-2.1%)

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)
78.8%
Stock touched +5.0% ($16.25) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
31.6%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.49x
You are 2.5x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±21.1%
$12.21 — $18.75

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 509 historical windows (2024-09-23 to 2026-10-22). The colored bar indicates the win zone for +5.0%.

-38.0% to -29.8%: 5 occurrences (1.0%) -33.9% -29.8% to -21.5%: 27 occurrences (5.3%) -21.5% to -13.3%: 55 occurrences (10.8%) -13.3% to -5.0%: 98 occurrences (19.3%) -9.2% -5.0% to +3.2%: 147 occurrences (28.9%) +3.2% to +11.5%: 71 occurrences (13.9%) +11.5% to +19.7%: 41 occurrences (8.1%) 15.6% +19.7% to +28.0%: 32 occurrences (6.3%) +28.0% to +36.2%: 20 occurrences (3.9%) +36.2% to +44.5%: 7 occurrences (1.4%) 40.4% +44.5% to +52.8%: 4 occurrences (0.8%) +52.8% to +61.0%: 0 occurrences (0.0%) +61.0% to +69.3%: 1 occurrences (0.2%) 65.1% +69.3% to +77.5%: 0 occurrences (0.0%) +77.5% to +85.8%: 0 occurrences (0.0%) +85.8% to +94.0%: 1 occurrences (0.2%) 89.9%
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) 78.8% 31.6% Model-free reality across 509 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 41.0% Adjusts normal bell curve for real-world skewness (-1.71) and kurtosis (12.58).
Standard Normal (Black-Scholes / GBM) 81.7% 40.9% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 76.3% 32.8% Filters for historical windows that started with volatility similar to current 20-day HV (329 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 89.5%
  • Recent 20-Day HV: 63.9%
  • Parkinson Intraday Volatility: 68.8%
  • Vol Trend: Compressed (-29% vs baseline)

14-Day Return Quantiles

  • Median Return: -1.3%
  • Top 10% Move (90th percentile): +21.8%
  • Bottom 10% Move (10th percentile): -17.8%
  • Max Historical Gain (14d): +94.0%
  • Max Historical Loss (14d): -38.0%