Finance

SOXL Move Probability $86.47 -16.82 (-16.3%)

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)
86.8%
Stock touched +5.0% ($90.79) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
47.2%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.84x
You are 1.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±29.8%
$60.67 — $112.27

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 509 historical windows (2024-09-23 to 2026-10-22). The colored bar indicates the win zone for +5.0%.

-59.4% to -47.2%: 8 occurrences (1.6%) -53.3% -47.2% to -35.0%: 21 occurrences (4.1%) -35.0% to -22.8%: 34 occurrences (6.7%) -22.8% to -10.5%: 66 occurrences (13.0%) -16.6% -10.5% to +1.7%: 111 occurrences (21.8%) +1.7% to +13.9%: 86 occurrences (16.9%) +13.9% to +26.1%: 63 occurrences (12.4%) 20.0% +26.1% to +38.3%: 60 occurrences (11.8%) +38.3% to +50.5%: 26 occurrences (5.1%) +50.5% to +62.7%: 16 occurrences (3.1%) 56.6% +62.7% to +75.0%: 5 occurrences (1.0%) +75.0% to +87.2%: 4 occurrences (0.8%) +87.2% to +99.4%: 2 occurrences (0.4%) 93.3% +99.4% to +111.6%: 3 occurrences (0.6%) +111.6% to +123.8%: 2 occurrences (0.4%) +123.8% to +136.0%: 2 occurrences (0.4%) 129.9%
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) 86.8% 47.2% Model-free reality across 509 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 43.9% Adjusts normal bell curve for real-world skewness (-0.49) and kurtosis (3.71).
Standard Normal (Black-Scholes / GBM) 87.0% 43.5% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 87.1% 48.2% Filters for historical windows that started with volatility similar to current 20-day HV (340 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 126.6%
  • Recent 20-Day HV: 112.8%
  • Parkinson Intraday Volatility: 91.1%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: +3.5%
  • Top 10% Move (90th percentile): +40.8%
  • Bottom 10% Move (10th percentile): -25.5%
  • Max Historical Gain (14d): +136.0%
  • Max Historical Loss (14d): -59.4%