Finance

SO Move Probability $90.39 -0.31 (-0.3%)

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)
20.7%
Stock touched +5.0% ($94.91) at least once during 14 trading days.
Median first touch: Day 9 of 14
Expiration Close Probability
8.9%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.33x
You are 2.3x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±4.2%
$86.64 — $94.15

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 508 historical windows (2024-09-23 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-9.2% to -8.0%: 2 occurrences (0.4%) -8.6% -8.0% to -6.7%: 9 occurrences (1.8%) -6.7% to -5.5%: 17 occurrences (3.3%) -5.5% to -4.2%: 22 occurrences (4.3%) -4.9% -4.2% to -3.0%: 53 occurrences (10.4%) -3.0% to -1.7%: 52 occurrences (10.2%) -1.7% to -0.5%: 70 occurrences (13.8%) -1.1% -0.5% to +0.7%: 59 occurrences (11.6%) +0.7% to +2.0%: 69 occurrences (13.6%) +2.0% to +3.2%: 56 occurrences (11.0%) 2.6% +3.2% to +4.5%: 43 occurrences (8.5%) +4.5% to +5.7%: 23 occurrences (4.5%) +5.7% to +7.0%: 13 occurrences (2.6%) 6.4% +7.0% to +8.2%: 11 occurrences (2.2%) +8.2% to +9.5%: 7 occurrences (1.4%) +9.5% to +10.7%: 2 occurrences (0.4%) 10.1%
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) 20.7% 8.9% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 10.7% Adjusts normal bell curve for real-world skewness (-0.09) and kurtosis (0.81).
Standard Normal (Black-Scholes / GBM) 24.1% 12.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 16.9% 7.5% Filters for historical windows that started with volatility similar to current 20-day HV (402 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 17.6%
  • Recent 20-Day HV: 16.8%
  • Parkinson Intraday Volatility: 15.7%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: +0.2%
  • Top 10% Move (90th percentile): +4.7%
  • Bottom 10% Move (10th percentile): -4.2%
  • Max Historical Gain (14d): +10.7%
  • Max Historical Loss (14d): -9.2%