Finance

SPRB Move Probability $42.44 +0.68 (+1.6%)

Real historical back-data analysis: evaluates rolling trading-day windows to determine the probability of a stock touching or closing at your target move.

← Back to SPRB Options chain →
Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
51.0%
Stock touched +5.0% ($44.56) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
25.4%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.01x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±91.4%
$3.64 — $81.24

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%.

-74.6% to +692.9%: 480 occurrences (94.5%) 309.2% +692.9% to +1460.4%: 4 occurrences (0.8%) +1460.4% to +2228.0%: 10 occurrences (2.0%) +2228.0% to +2995.5%: 0 occurrences (0.0%) 2611.7% +2995.5% to +3763.0%: 0 occurrences (0.0%) +3763.0% to +4530.5%: 0 occurrences (0.0%) +4530.5% to +5298.0%: 0 occurrences (0.0%) 4914.3% +5298.0% to +6065.6%: 0 occurrences (0.0%) +6065.6% to +6833.1%: 0 occurrences (0.0%) +6833.1% to +7600.6%: 0 occurrences (0.0%) 7216.8% +7600.6% to +8368.1%: 0 occurrences (0.0%) +8368.1% to +9135.7%: 0 occurrences (0.0%) +9135.7% to +9903.2%: 0 occurrences (0.0%) 9519.4% +9903.2% to +10670.7%: 0 occurrences (0.0%) +10670.7% to +11438.2%: 7 occurrences (1.4%) +11438.2% to +12205.7%: 7 occurrences (1.4%) 11822.0%
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) 51.0% 25.4% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 0.3% Adjusts normal bell curve for real-world skewness (15.71) and kurtosis (280.67).
Standard Normal (Black-Scholes / GBM) 95.7% 47.9% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 58.7% 25.4% Filters for historical windows that started with volatility similar to current 20-day HV (189 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 387.9%
  • Recent 20-Day HV: 59.9%
  • Parkinson Intraday Volatility: 73.6%
  • Vol Trend: Compressed (-85% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.0%
  • Top 10% Move (90th percentile): +20.1%
  • Bottom 10% Move (10th percentile): -26.5%
  • Max Historical Gain (14d): +12205.7%
  • Max Historical Loss (14d): -74.6%