Finance

SOXS Move Probability $51.64 +7.28 (+16.4%)

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)
74.9%
Stock touched +5.0% ($54.22) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
23.8%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
3.15x
You are 3.1x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±31.6%
$35.31 — $67.97

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%.

-61.8% to -51.5%: 14 occurrences (2.8%) -56.7% -51.5% to -41.3%: 25 occurrences (4.9%) -41.3% to -31.1%: 41 occurrences (8.1%) -31.1% to -20.8%: 85 occurrences (16.7%) -25.9% -20.8% to -10.6%: 74 occurrences (14.5%) -10.6% to -0.3%: 103 occurrences (20.2%) -0.3% to +9.9%: 76 occurrences (14.9%) 4.8% +9.9% to +20.2%: 41 occurrences (8.1%) +20.2% to +30.4%: 24 occurrences (4.7%) +30.4% to +40.6%: 9 occurrences (1.8%) 35.5% +40.6% to +50.9%: 9 occurrences (1.8%) +50.9% to +61.1%: 2 occurrences (0.4%) +61.1% to +71.4%: 1 occurrences (0.2%) 66.2% +71.4% to +81.6%: 3 occurrences (0.6%) +81.6% to +91.8%: 0 occurrences (0.0%) +91.8% to +102.1%: 2 occurrences (0.4%) 97.0%
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) 74.9% 23.8% Model-free reality across 509 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 44.2% Adjusts normal bell curve for real-world skewness (-1.67) and kurtosis (16.9).
Standard Normal (Black-Scholes / GBM) 87.7% 43.9% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 74.6% 23.1% Filters for historical windows that started with volatility similar to current 20-day HV (351 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 134.1%
  • Recent 20-Day HV: 103.5%
  • Parkinson Intraday Volatility: 93.5%
  • Vol Trend: Compressed (-23% vs baseline)

14-Day Return Quantiles

  • Median Return: -9.3%
  • Top 10% Move (90th percentile): +19.6%
  • Bottom 10% Move (10th percentile): -38.8%
  • Max Historical Gain (14d): +102.1%
  • Max Historical Loss (14d): -61.8%