Finance

SPCE Move Probability $2.43 +0.05 (+2.1%)

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)
29.0%
Stock touched +5.0% ($2.55) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
13.4%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
2.16x
You are 2.2x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±11.9%
$2.14 — $2.72

Historical 1-Day Return Distribution

Frequency of rolling 1-day percentage returns over 521 historical windows (2024-09-23 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-39.4% to +14.0%: 506 occurrences (97.1%) -12.7% +14.0% to +67.5%: 13 occurrences (2.5%) +67.5% to +121.0%: 1 occurrences (0.2%) +121.0% to +174.4%: 0 occurrences (0.0%) 147.7% +174.4% to +227.9%: 0 occurrences (0.0%) +227.9% to +281.4%: 0 occurrences (0.0%) +281.4% to +334.8%: 0 occurrences (0.0%) 308.1% +334.8% to +388.3%: 0 occurrences (0.0%) +388.3% to +441.7%: 0 occurrences (0.0%) +441.7% to +495.2%: 0 occurrences (0.0%) 468.5% +495.2% to +548.7%: 0 occurrences (0.0%) +548.7% to +602.1%: 0 occurrences (0.0%) +602.1% to +655.6%: 0 occurrences (0.0%) 628.9% +655.6% to +709.1%: 0 occurrences (0.0%) +709.1% to +762.5%: 0 occurrences (0.0%) +762.5% to +816.0%: 1 occurrences (0.2%) 789.3%
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) 29.0% 13.4% Model-free reality across 521 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 0.0% Adjusts normal bell curve for real-world skewness (12.91) and kurtosis (232.22).
Standard Normal (Black-Scholes / GBM) 68.1% 34.1% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 20.2% 10.6% Filters for historical windows that started with volatility similar to current 20-day HV (104 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 188.5%
  • Recent 20-Day HV: 42.0%
  • Parkinson Intraday Volatility: 82.8%
  • Vol Trend: Compressed (-78% vs baseline)

1-Day Return Quantiles

  • Median Return: -0.6%
  • Top 10% Move (90th percentile): +6.4%
  • Bottom 10% Move (10th percentile): -5.8%
  • Max Historical Gain (1d): +816.0%
  • Max Historical Loss (1d): -39.4%