Finance

SPDN Move Probability $8.49 +0.10 (+1.1%)

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)
9.4%
Stock touched +5.0% ($8.91) at least once during 14 trading days.
Median first touch: Day 8 of 14
Expiration Close Probability
4.1%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.29x
You are 2.3x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±3.8%
$8.17 — $8.81

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 509 historical windows (2024-09-23 to 2026-10-22). The colored bar indicates the win zone for +5.0%.

-11.1% to -9.6%: 3 occurrences (0.6%) -10.3% -9.6% to -8.0%: 5 occurrences (1.0%) -8.0% to -6.5%: 10 occurrences (2.0%) -6.5% to -4.9%: 10 occurrences (2.0%) -5.7% -4.9% to -3.4%: 32 occurrences (6.3%) -3.4% to -1.9%: 90 occurrences (17.7%) -1.9% to -0.3%: 141 occurrences (27.7%) -1.1% -0.3% to +1.2%: 107 occurrences (21.0%) +1.2% to +2.8%: 54 occurrences (10.6%) +2.8% to +4.3%: 29 occurrences (5.7%) 3.5% +4.3% to +5.8%: 10 occurrences (2.0%) +5.8% to +7.4%: 10 occurrences (2.0%) +7.4% to +8.9%: 1 occurrences (0.2%) 8.1% +8.9% to +10.4%: 4 occurrences (0.8%) +10.4% to +12.0%: 2 occurrences (0.4%) +12.0% to +13.5%: 1 occurrences (0.2%) 12.7%
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) 9.4% 4.1% Model-free reality across 509 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 0.4% Adjusts normal bell curve for real-world skewness (-0.98) and kurtosis (18.62).
Standard Normal (Black-Scholes / GBM) 19.8% 9.9% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 8.6% 4.3% Filters for historical windows that started with volatility similar to current 20-day HV (256 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 16.1%
  • Recent 20-Day HV: 9.8%
  • Parkinson Intraday Volatility: 11.3%
  • Vol Trend: Compressed (-39% vs baseline)

14-Day Return Quantiles

  • Median Return: -0.7%
  • Top 10% Move (90th percentile): +3.1%
  • Bottom 10% Move (10th percentile): -3.8%
  • Max Historical Gain (14d): +13.5%
  • Max Historical Loss (14d): -11.1%