Finance

SOL Move Probability $1.94 +0.00 (+0.0%)

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)
41.2%
Stock touched +5.0% ($2.04) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
24.8%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.66x
You are 1.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±14.3%
$1.66 — $2.22

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 294 historical windows (2024-09-23 to 2025-12-12). The colored bar indicates the win zone for +5.0%.

-28.9% to -25.0%: 4 occurrences (1.4%) -27.0% -25.0% to -21.2%: 10 occurrences (3.4%) -21.2% to -17.3%: 9 occurrences (3.1%) -17.3% to -13.4%: 16 occurrences (5.4%) -15.4% -13.4% to -9.6%: 17 occurrences (5.8%) -9.6% to -5.7%: 30 occurrences (10.2%) -5.7% to -1.8%: 40 occurrences (13.6%) -3.7% -1.8% to +2.1%: 74 occurrences (25.2%) +2.1% to +5.9%: 26 occurrences (8.8%) +5.9% to +9.8%: 18 occurrences (6.1%) 7.9% +9.8% to +13.7%: 29 occurrences (9.9%) +13.7% to +17.6%: 5 occurrences (1.7%) +17.6% to +21.4%: 8 occurrences (2.7%) 19.5% +21.4% to +25.3%: 5 occurrences (1.7%) +25.3% to +29.2%: 2 occurrences (0.7%) +29.2% to +33.1%: 1 occurrences (0.3%) 31.1%
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) 41.2% 24.8% Model-free reality across 294 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 15.3% Adjusts normal bell curve for real-world skewness (0.89) and kurtosis (14.23).
Standard Normal (Black-Scholes / GBM) 73.2% 36.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 51.7% 37.9% Filters for historical windows that started with volatility similar to current 20-day HV (29 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 60.5%
  • Recent 20-Day HV: 27.6%
  • Parkinson Intraday Volatility: 45.7%
  • Vol Trend: Compressed (-54% vs baseline)

14-Day Return Quantiles

  • Median Return: -1.1%
  • Top 10% Move (90th percentile): +12.0%
  • Bottom 10% Move (10th percentile): -15.9%
  • Max Historical Gain (14d): +33.1%
  • Max Historical Loss (14d): -28.9%