Finance

SONO Move Probability $17.47 +0.09 (+0.5%)

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)
69.9%
Stock touched +5.0% ($18.34) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
36.4%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.92x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±11.4%
$15.48 — $19.46

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%.

-33.4% to -29.1%: 6 occurrences (1.2%) -31.2% -29.1% to -24.8%: 2 occurrences (0.4%) -24.8% to -20.5%: 5 occurrences (1.0%) -20.5% to -16.2%: 3 occurrences (0.6%) -18.3% -16.2% to -11.9%: 26 occurrences (5.1%) -11.9% to -7.6%: 50 occurrences (9.8%) -7.6% to -3.3%: 71 occurrences (14.0%) -5.4% -3.3% to +1.1%: 71 occurrences (14.0%) +1.1% to +5.4%: 94 occurrences (18.5%) +5.4% to +9.7%: 75 occurrences (14.8%) 7.5% +9.7% to +14.0%: 54 occurrences (10.6%) +14.0% to +18.3%: 28 occurrences (5.5%) +18.3% to +22.6%: 11 occurrences (2.2%) 20.4% +22.6% to +26.9%: 8 occurrences (1.6%) +26.9% to +31.2%: 3 occurrences (0.6%) +31.2% to +35.5%: 1 occurrences (0.2%) 33.3%
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) 69.9% 36.4% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 27.3% Adjusts normal bell curve for real-world skewness (-0.79) and kurtosis (6.32).
Standard Normal (Black-Scholes / GBM) 66.8% 33.4% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 74.0% 39.0% Filters for historical windows that started with volatility similar to current 20-day HV (200 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 48.3%
  • Recent 20-Day HV: 30.0%
  • Parkinson Intraday Volatility: 40.3%
  • Vol Trend: Compressed (-38% vs baseline)

14-Day Return Quantiles

  • Median Return: +1.9%
  • Top 10% Move (90th percentile): +13.9%
  • Bottom 10% Move (10th percentile): -10.9%
  • Max Historical Gain (14d): +35.5%
  • Max Historical Loss (14d): -33.4%