Finance

SPMC Move Probability $5.84 -0.28 (-4.6%)

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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Touch Probability (First Passage)
35.8%
Stock touched +5.0% ($6.13) at least once during 14 trading days.
Median first touch: Day 6 of 14
Expiration Close Probability
19.1%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.88x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±8.3%
$5.36 — $6.32

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 508 historical windows (2024-09-23 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-31.1% to -27.9%: 3 occurrences (0.6%) -29.5% -27.9% to -24.6%: 4 occurrences (0.8%) -24.6% to -21.3%: 7 occurrences (1.4%) -21.3% to -18.1%: 3 occurrences (0.6%) -19.7% -18.1% to -14.8%: 7 occurrences (1.4%) -14.8% to -11.6%: 30 occurrences (5.9%) -11.6% to -8.3%: 26 occurrences (5.1%) -10.0% -8.3% to -5.1%: 53 occurrences (10.4%) -5.1% to -1.8%: 83 occurrences (16.3%) -1.8% to +1.4%: 101 occurrences (19.9%) -0.2% +1.4% to +4.7%: 87 occurrences (17.1%) +4.7% to +7.9%: 57 occurrences (11.2%) +7.9% to +11.2%: 27 occurrences (5.3%) 9.5% +11.2% to +14.4%: 7 occurrences (1.4%) +14.4% to +17.7%: 5 occurrences (1.0%) +17.7% to +20.9%: 8 occurrences (1.6%) 19.3%
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) 35.8% 19.1% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 22.4% Adjusts normal bell curve for real-world skewness (-1.44) and kurtosis (7.21).
Standard Normal (Black-Scholes / GBM) 55.5% 27.7% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 55.7% 35.4% Filters for historical windows that started with volatility similar to current 20-day HV (79 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 35.0%
  • Recent 20-Day HV: 62.1%
  • Parkinson Intraday Volatility: 11.0%
  • Vol Trend: Expanded (+77% vs baseline)

14-Day Return Quantiles

  • Median Return: -0.5%
  • Top 10% Move (90th percentile): +7.6%
  • Bottom 10% Move (10th percentile): -11.8%
  • Max Historical Gain (14d): +20.9%
  • Max Historical Loss (14d): -31.1%