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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Touch Probability (First Passage)
0.2%
Stock touched +5.0% ($94.91) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
0.0%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
0.19x
You are 0.2x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±1.1%
$89.39 — $91.40

Historical 1-Day Return Distribution

Frequency of rolling 1-day percentage returns over 521 historical windows (2024-09-23 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-3.8% to -3.3%: 2 occurrences (0.4%) -3.6% -3.3% to -2.8%: 4 occurrences (0.8%) -2.8% to -2.3%: 7 occurrences (1.3%) -2.3% to -1.7%: 17 occurrences (3.3%) -2.0% -1.7% to -1.2%: 33 occurrences (6.3%) -1.2% to -0.7%: 60 occurrences (11.5%) -0.7% to -0.2%: 95 occurrences (18.2%) -0.4% -0.2% to +0.4%: 105 occurrences (20.2%) +0.4% to +0.9%: 89 occurrences (17.1%) +0.9% to +1.4%: 58 occurrences (11.1%) 1.1% +1.4% to +1.9%: 34 occurrences (6.5%) +1.9% to +2.4%: 9 occurrences (1.7%) +2.4% to +3.0%: 4 occurrences (0.8%) 2.7% +3.0% to +3.5%: 2 occurrences (0.4%) +3.5% to +4.0%: 1 occurrences (0.2%) +4.0% to +4.5%: 1 occurrences (0.2%) 4.3%
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) 0.2% 0.0% Model-free reality across 521 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 1.1% Adjusts normal bell curve for real-world skewness (-0.09) and kurtosis (0.81).
Standard Normal (Black-Scholes / GBM) 0.0% 0.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 0.2% 0.0% Filters for historical windows that started with volatility similar to current 20-day HV (415 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

1-Day Return Quantiles

  • Median Return: +0.0%
  • Top 10% Move (90th percentile): +1.3%
  • Bottom 10% Move (10th percentile): -1.4%
  • Max Historical Gain (1d): +4.5%
  • Max Historical Loss (1d): -3.8%