Finance

SOXS Move Probability $52.66 +8.30 (+18.7%)

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)
36.0%
Stock touched +5.0% ($55.29) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
19.3%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
1.86x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±8.4%
$48.21 — $57.11

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%.

-56.3% to -50.8%: 1 occurrences (0.2%) -53.5% -50.8% to -45.3%: 0 occurrences (0.0%) -45.3% to -39.8%: 0 occurrences (0.0%) -39.8% to -34.3%: 0 occurrences (0.0%) -37.1% -34.3% to -28.8%: 0 occurrences (0.0%) -28.8% to -23.3%: 2 occurrences (0.4%) -23.3% to -17.9%: 6 occurrences (1.1%) -20.6% -17.9% to -12.4%: 17 occurrences (3.3%) -12.4% to -6.9%: 59 occurrences (11.3%) -6.9% to -1.4%: 154 occurrences (29.5%) -4.2% -1.4% to +4.1%: 168 occurrences (32.2%) +4.1% to +9.6%: 64 occurrences (12.3%) +9.6% to +15.0%: 33 occurrences (6.3%) 12.3% +15.0% to +20.5%: 12 occurrences (2.3%) +20.5% to +26.0%: 4 occurrences (0.8%) +26.0% to +31.5%: 2 occurrences (0.4%) 28.8%
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) 36.0% 19.3% Model-free reality across 522 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 10.0% Adjusts normal bell curve for real-world skewness (-1.67) and kurtosis (16.9).
Standard Normal (Black-Scholes / GBM) 56.4% 28.2% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 35.4% 18.4% Filters for historical windows that started with volatility similar to current 20-day HV (364 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)

1-Day Return Quantiles

  • Median Return: -0.7%
  • Top 10% Move (90th percentile): +9.4%
  • Bottom 10% Move (10th percentile): -8.5%
  • Max Historical Gain (1d): +31.5%
  • Max Historical Loss (1d): -56.3%