Finance

SPCH Move Probability $10.86 +1.46 (+15.5%)

Real historical back-data analysis: evaluates rolling trading-day windows to determine the probability of a stock touching or closing at your target move.

← Back to SPCH Options chain →
Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
59.1%
Stock touched +5.0% ($11.40) at least once during 2 trading days.
Median first touch: Day 1 of 2
Expiration Close Probability
22.7%
Stock closed at or beyond +5.0% at the end of the 2-day window.
The Touch Multiple
2.60x
You are 2.6x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±17.1%
$9.01 — $12.71

Historical 2-Day Return Distribution

Frequency of rolling 2-day percentage returns over 88 historical windows (2026-06-15 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-19.7% to -12.1%: 12 occurrences (13.6%) -15.9% -12.1% to -4.5%: 22 occurrences (25.0%) -4.5% to +3.1%: 26 occurrences (29.5%) +3.1% to +10.6%: 17 occurrences (19.3%) 6.8% +10.6% to +18.2%: 5 occurrences (5.7%) +18.2% to +25.8%: 1 occurrences (1.1%) +25.8% to +33.3%: 2 occurrences (2.3%) 29.6% +33.3% to +40.9%: 0 occurrences (0.0%) +40.9% to +48.5%: 2 occurrences (2.3%) +48.5% to +56.0%: 0 occurrences (0.0%) 52.3% +56.0% to +63.6%: 0 occurrences (0.0%) +63.6% to +71.2%: 0 occurrences (0.0%) +71.2% to +78.8%: 0 occurrences (0.0%) 75.0% +78.8% to +86.3%: 0 occurrences (0.0%) +86.3% to +93.9%: 0 occurrences (0.0%) +93.9% to +101.5%: 1 occurrences (1.1%) 97.7%
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) 59.1% 22.7% Model-free reality across 88 historical 2-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 14.2% Adjusts normal bell curve for real-world skewness (3.18) and kurtosis (19.71).
Standard Normal (Black-Scholes / GBM) 77.5% 38.8% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 57.4% 17.0% Filters for historical windows that started with volatility similar to current 20-day HV (47 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 191.6%
  • Recent 20-Day HV: 110.5%
  • Parkinson Intraday Volatility: 119.8%
  • Vol Trend: Compressed (-42% vs baseline)

2-Day Return Quantiles

  • Median Return: -1.0%
  • Top 10% Move (90th percentile): +14.7%
  • Bottom 10% Move (10th percentile): -13.1%
  • Max Historical Gain (2d): +101.5%
  • Max Historical Loss (2d): -19.7%