Finance

SMR Move Probability $6.53 -0.17 (-2.5%)

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)
60.9%
Stock touched +5.0% ($6.85) at least once during 3 trading days.
Median first touch: Day 1 of 3
Expiration Close Probability
29.5%
Stock closed at or beyond +5.0% at the end of the 3-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%)
±11.7%
$5.76 — $7.29

Historical 3-Day Return Distribution

Frequency of rolling 3-day percentage returns over 519 historical windows (2024-09-13 to 2026-10-13). The colored bar indicates the win zone for +5.0%.

-27.9% to -23.1%: 3 occurrences (0.6%) -25.5% -23.1% to -18.3%: 13 occurrences (2.5%) -18.3% to -13.5%: 34 occurrences (6.6%) -13.5% to -8.7%: 59 occurrences (11.4%) -11.1% -8.7% to -3.9%: 84 occurrences (16.2%) -3.9% to +0.9%: 102 occurrences (19.7%) +0.9% to +5.7%: 81 occurrences (15.6%) 3.3% +5.7% to +10.5%: 57 occurrences (11.0%) +10.5% to +15.3%: 41 occurrences (7.9%) +15.3% to +20.1%: 16 occurrences (3.1%) 17.7% +20.1% to +24.9%: 8 occurrences (1.5%) +24.9% to +29.7%: 9 occurrences (1.7%) +29.7% to +34.5%: 6 occurrences (1.2%) 32.1% +34.5% to +39.3%: 3 occurrences (0.6%) +39.3% to +44.1%: 1 occurrences (0.2%) +44.1% to +49.0%: 2 occurrences (0.4%) 46.5%
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) 60.9% 29.5% Model-free reality across 519 historical 3-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 28.7% Adjusts normal bell curve for real-world skewness (0.43) and kurtosis (1.95).
Standard Normal (Black-Scholes / GBM) 67.6% 33.8% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 56.3% 29.4% Filters for historical windows that started with volatility similar to current 20-day HV (126 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)

3-Day Return Quantiles

  • Median Return: -1.0%
  • Top 10% Move (90th percentile): +13.9%
  • Bottom 10% Move (10th percentile): -13.1%
  • Max Historical Gain (3d): +49.0%
  • Max Historical Loss (3d): -27.9%