Finance

SPNS Move Probability $43.46 +0.01 (+0.0%)

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)
36.5%
Stock touched +5.0% ($45.63) at least once during 14 trading days.
Median first touch: Day 7 of 14
Expiration Close Probability
14.9%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.45x
You are 2.5x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±11.6%
$38.43 — $48.49

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 296 historical windows (2024-09-23 to 2025-12-16). The colored bar indicates the win zone for +5.0%.

-31.1% to -25.3%: 8 occurrences (2.7%) -28.2% -25.3% to -19.5%: 6 occurrences (2.0%) -19.5% to -13.7%: 0 occurrences (0.0%) -13.7% to -7.9%: 15 occurrences (5.1%) -10.8% -7.9% to -2.0%: 36 occurrences (12.2%) -2.0% to +3.8%: 168 occurrences (56.8%) +3.8% to +9.6%: 44 occurrences (14.9%) 6.7% +9.6% to +15.4%: 5 occurrences (1.7%) +15.4% to +21.2%: 0 occurrences (0.0%) +21.2% to +27.0%: 0 occurrences (0.0%) 24.1% +27.0% to +32.8%: 0 occurrences (0.0%) +32.8% to +38.6%: 0 occurrences (0.0%) +38.6% to +44.5%: 0 occurrences (0.0%) 41.5% +44.5% to +50.3%: 6 occurrences (2.0%) +50.3% to +56.1%: 2 occurrences (0.7%) +56.1% to +61.9%: 6 occurrences (2.0%) 59.0%
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) 36.5% 14.9% Model-free reality across 296 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 0.0% Adjusts normal bell curve for real-world skewness (2.34) and kurtosis (90.93).
Standard Normal (Black-Scholes / GBM) 67.3% 33.7% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 0.0% 0.0% Filters for historical windows that started with volatility similar to current 20-day HV (18 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 49.1%
  • Recent 20-Day HV: 2.4%
  • Parkinson Intraday Volatility: 16.8%
  • Vol Trend: Compressed (-95% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.3%
  • Top 10% Move (90th percentile): +6.9%
  • Bottom 10% Move (10th percentile): -7.5%
  • Max Historical Gain (14d): +61.9%
  • Max Historical Loss (14d): -31.1%