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)
21.1%
Stock touched +5.0% ($167.28) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
13.3%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
1.58x
You are 1.6x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±5.1%
$151.25 — $167.37

Historical 1-Day Return Distribution

Frequency of rolling 1-day percentage returns over 90 historical windows (2026-06-12 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-16.4% to -14.2%: 1 occurrences (1.1%) -15.3% -14.2% to -12.0%: 1 occurrences (1.1%) -12.0% to -9.7%: 0 occurrences (0.0%) -9.7% to -7.5%: 1 occurrences (1.1%) -8.6% -7.5% to -5.3%: 3 occurrences (3.3%) -5.3% to -3.0%: 16 occurrences (17.8%) -3.0% to -0.8%: 21 occurrences (23.3%) -1.9% -0.8% to +1.5%: 18 occurrences (20.0%) +1.5% to +3.7%: 12 occurrences (13.3%) +3.7% to +5.9%: 7 occurrences (7.8%) 4.8% +5.9% to +8.2%: 6 occurrences (6.7%) +8.2% to +10.4%: 2 occurrences (2.2%) +10.4% to +12.6%: 0 occurrences (0.0%) 11.5% +12.6% to +14.9%: 0 occurrences (0.0%) +14.9% to +17.1%: 1 occurrences (1.1%) +17.1% to +19.4%: 1 occurrences (1.1%) 18.2%
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) 21.1% 13.3% Model-free reality across 90 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 11.4% Adjusts normal bell curve for real-world skewness (0.13) and kurtosis (2.92).
Standard Normal (Black-Scholes / GBM) 33.5% 16.7% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 17.8% 15.6% Filters for historical windows that started with volatility similar to current 20-day HV (45 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)

1-Day Return Quantiles

  • Median Return: -0.6%
  • Top 10% Move (90th percentile): +6.1%
  • Bottom 10% Move (10th percentile): -4.2%
  • Max Historical Gain (1d): +19.4%
  • Max Historical Loss (1d): -16.4%