Finance

SMMT Move Probability $15.32 -0.50 (-3.2%)

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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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
25.1%
Stock touched +5.0% ($16.09) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
12.5%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
2.02x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±5.6%
$14.46 — $16.18

Historical 1-Day Return Distribution

Frequency of rolling 1-day percentage returns over 522 historical windows (2024-09-23 to 2026-10-22). The colored bar indicates the win zone for +5.0%.

-36.0% to -32.4%: 1 occurrences (0.2%) -34.2% -32.4% to -28.8%: 1 occurrences (0.2%) -28.8% to -25.2%: 1 occurrences (0.2%) -25.2% to -21.6%: 1 occurrences (0.2%) -23.4% -21.6% to -18.0%: 0 occurrences (0.0%) -18.0% to -14.5%: 2 occurrences (0.4%) -14.5% to -10.9%: 3 occurrences (0.6%) -12.7% -10.9% to -7.3%: 21 occurrences (4.0%) -7.3% to -3.7%: 63 occurrences (12.1%) -3.7% to -0.1%: 148 occurrences (28.4%) -1.9% -0.1% to +3.5%: 179 occurrences (34.3%) +3.5% to +7.0%: 63 occurrences (12.1%) +7.0% to +10.6%: 24 occurrences (4.6%) 8.8% +10.6% to +14.2%: 7 occurrences (1.3%) +14.2% to +17.8%: 7 occurrences (1.3%) +17.8% to +21.4%: 1 occurrences (0.2%) 19.6%
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) 25.1% 12.5% Model-free reality across 522 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 5.8% Adjusts normal bell curve for real-world skewness (-1.71) and kurtosis (12.57).
Standard Normal (Black-Scholes / GBM) 38.7% 19.4% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 23.2% 11.3% Filters for historical windows that started with volatility similar to current 20-day HV (354 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 89.6%
  • Recent 20-Day HV: 64.5%
  • Parkinson Intraday Volatility: 68.8%
  • Vol Trend: Compressed (-28% vs baseline)

1-Day Return Quantiles

  • Median Return: +0.1%
  • Top 10% Move (90th percentile): +5.6%
  • Bottom 10% Move (10th percentile): -5.3%
  • Max Historical Gain (1d): +21.4%
  • Max Historical Loss (1d): -36.0%