Finance

SOXL Move Probability $83.69 -19.61 (-19.0%)

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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Touch Probability (First Passage)
40.2%
Stock touched +5.0% ($87.87) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
23.9%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
1.68x
You are 1.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±8.0%
$77.01 — $90.36

Historical 1-Day Return Distribution

Frequency of rolling 1-day percentage returns over 522 historical windows (2024-09-23 to 2026-10-22). The colored bar indicates the win zone for +5.0%.

-30.7% to -25.3%: 2 occurrences (0.4%) -28.0% -25.3% to -19.9%: 4 occurrences (0.8%) -19.9% to -14.5%: 13 occurrences (2.5%) -14.5% to -9.1%: 35 occurrences (6.7%) -11.8% -9.1% to -3.8%: 64 occurrences (12.3%) -3.8% to +1.6%: 176 occurrences (33.7%) +1.6% to +7.0%: 148 occurrences (28.4%) 4.3% +7.0% to +12.4%: 55 occurrences (10.5%) +12.4% to +17.8%: 16 occurrences (3.1%) +17.8% to +23.2%: 6 occurrences (1.1%) 20.5% +23.2% to +28.6%: 2 occurrences (0.4%) +28.6% to +34.0%: 0 occurrences (0.0%) +34.0% to +39.4%: 0 occurrences (0.0%) 36.7% +39.4% to +44.8%: 0 occurrences (0.0%) +44.8% to +50.2%: 0 occurrences (0.0%) +50.2% to +55.6%: 1 occurrences (0.2%) 52.9%
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) 40.2% 23.9% Model-free reality across 522 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 21.4% Adjusts normal bell curve for real-world skewness (-0.49) and kurtosis (3.71).
Standard Normal (Black-Scholes / GBM) 54.1% 27.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 41.9% 24.6% Filters for historical windows that started with volatility similar to current 20-day HV (353 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

1-Day Return Quantiles

  • Median Return: +0.7%
  • Top 10% Move (90th percentile): +8.5%
  • Bottom 10% Move (10th percentile): -9.4%
  • Max Historical Gain (1d): +55.6%
  • Max Historical Loss (1d): -30.7%