Finance

SMR Move Probability $6.56 -0.13 (-1.9%)

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)
79.5%
Stock touched +5.0% ($6.89) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
38.4%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.07x
You are 2.1x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±25.2%
$4.90 — $8.22

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 508 historical windows (2024-09-13 to 2026-10-13). The colored bar indicates the win zone for +5.0%.

-58.3% to -47.5%: 6 occurrences (1.2%) -52.9% -47.5% to -36.8%: 5 occurrences (1.0%) -36.8% to -26.0%: 38 occurrences (7.5%) -26.0% to -15.2%: 79 occurrences (15.6%) -20.6% -15.2% to -4.5%: 100 occurrences (19.7%) -4.5% to +6.3%: 95 occurrences (18.7%) +6.3% to +17.1%: 60 occurrences (11.8%) 11.7% +17.1% to +27.9%: 48 occurrences (9.4%) +27.9% to +38.6%: 32 occurrences (6.3%) +38.6% to +49.4%: 28 occurrences (5.5%) 44.0% +49.4% to +60.2%: 4 occurrences (0.8%) +60.2% to +70.9%: 4 occurrences (0.8%) +70.9% to +81.7%: 4 occurrences (0.8%) 76.3% +81.7% to +92.5%: 2 occurrences (0.4%) +92.5% to +103.3%: 2 occurrences (0.4%) +103.3% to +114.0%: 1 occurrences (0.2%) 108.6%
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) 79.5% 38.4% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 38.1% Adjusts normal bell curve for real-world skewness (0.43) and kurtosis (1.95).
Standard Normal (Black-Scholes / GBM) 84.7% 42.3% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 80.5% 48.0% Filters for historical windows that started with volatility similar to current 20-day HV (123 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 107.1%
  • Recent 20-Day HV: 68.2%
  • Parkinson Intraday Volatility: 91.3%
  • Vol Trend: Compressed (-36% vs baseline)

14-Day Return Quantiles

  • Median Return: -1.7%
  • Top 10% Move (90th percentile): +36.2%
  • Bottom 10% Move (10th percentile): -25.5%
  • Max Historical Gain (14d): +114.0%
  • Max Historical Loss (14d): -58.3%