Finance

SPCX Move Probability $159.31 +11.42 (+7.7%)

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)
76.6%
Stock touched +5.0% ($167.28) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
48.1%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.59x
You are 1.6x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±18.9%
$129.17 — $189.45

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 77 historical windows (2026-06-12 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-28.4% to -24.9%: 7 occurrences (9.1%) -26.6% -24.9% to -21.4%: 6 occurrences (7.8%) -21.4% to -17.9%: 2 occurrences (2.6%) -17.9% to -14.4%: 2 occurrences (2.6%) -16.2% -14.4% to -10.9%: 3 occurrences (3.9%) -10.9% to -7.5%: 1 occurrences (1.3%) -7.5% to -4.0%: 3 occurrences (3.9%) -5.7% -4.0% to -0.5%: 5 occurrences (6.5%) -0.5% to +3.0%: 10 occurrences (13.0%) +3.0% to +6.5%: 8 occurrences (10.4%) 4.7% +6.5% to +10.0%: 13 occurrences (16.9%) +10.0% to +13.4%: 4 occurrences (5.2%) +13.4% to +16.9%: 2 occurrences (2.6%) 15.2% +16.9% to +20.4%: 2 occurrences (2.6%) +20.4% to +23.9%: 5 occurrences (6.5%) +23.9% to +27.4%: 4 occurrences (5.2%) 25.6%
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) 76.6% 48.1% Model-free reality across 77 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 35.6% Adjusts normal bell curve for real-world skewness (0.13) and kurtosis (2.92).
Standard Normal (Black-Scholes / GBM) 79.6% 39.8% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 93.8% 65.6% Filters for historical windows that started with volatility similar to current 20-day HV (32 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 80.3%
  • Recent 20-Day HV: 56.0%
  • Parkinson Intraday Volatility: 64.0%
  • Vol Trend: Compressed (-30% vs baseline)

14-Day Return Quantiles

  • Median Return: +2.8%
  • Top 10% Move (90th percentile): +21.5%
  • Bottom 10% Move (10th percentile): -22.8%
  • Max Historical Gain (14d): +27.4%
  • Max Historical Loss (14d): -28.4%