Finance

SPG Move Probability $209.84 +4.28 (+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)
31.0%
Stock touched +5.0% ($220.34) at least once during 14 trading days.
Median first touch: Day 8 of 14
Expiration Close Probability
17.3%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.80x
You are 1.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±5.4%
$198.60 — $221.09

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%.

-14.8% to -13.0%: 2 occurrences (0.4%) -13.9% -13.0% to -11.2%: 7 occurrences (1.4%) -11.2% to -9.3%: 10 occurrences (2.0%) -9.3% to -7.5%: 10 occurrences (2.0%) -8.4% -7.5% to -5.7%: 11 occurrences (2.2%) -5.7% to -3.9%: 31 occurrences (6.1%) -3.9% to -2.0%: 44 occurrences (8.6%) -2.9% -2.0% to -0.2%: 70 occurrences (13.8%) -0.2% to +1.6%: 96 occurrences (18.9%) +1.6% to +3.5%: 85 occurrences (16.7%) 2.5% +3.5% to +5.3%: 67 occurrences (13.2%) +5.3% to +7.1%: 36 occurrences (7.1%) +7.1% to +8.9%: 21 occurrences (4.1%) 8.0% +8.9% to +10.8%: 11 occurrences (2.2%) +10.8% to +12.6%: 4 occurrences (0.8%) +12.6% to +14.4%: 4 occurrences (0.8%) 13.5%
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) 31.0% 17.3% Model-free reality across 509 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 5.6% Adjusts normal bell curve for real-world skewness (-0.69) and kurtosis (8.94).
Standard Normal (Black-Scholes / GBM) 36.3% 18.1% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 29.1% 17.4% Filters for historical windows that started with volatility similar to current 20-day HV (419 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 22.7%
  • Recent 20-Day HV: 19.5%
  • Parkinson Intraday Volatility: 18.2%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: +1.2%
  • Top 10% Move (90th percentile): +6.2%
  • Bottom 10% Move (10th percentile): -5.0%
  • Max Historical Gain (14d): +14.4%
  • Max Historical Loss (14d): -14.8%