Finance

SPRU Move Probability $1.35 -0.03 (-2.2%)

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)
62.2%
Stock touched +5.0% ($1.42) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
25.0%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.49x
You are 2.5x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±19.5%
$1.09 — $1.61

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%.

-33.6% to -24.9%: 23 occurrences (4.5%) -29.2% -24.9% to -16.1%: 54 occurrences (10.6%) -16.1% to -7.4%: 114 occurrences (22.4%) -7.4% to +1.3%: 143 occurrences (28.1%) -3.1% +1.3% to +10.0%: 78 occurrences (15.4%) +10.0% to +18.8%: 40 occurrences (7.9%) +18.8% to +27.5%: 24 occurrences (4.7%) 23.1% +27.5% to +36.2%: 5 occurrences (1.0%) +36.2% to +44.9%: 1 occurrences (0.2%) +44.9% to +53.7%: 3 occurrences (0.6%) 49.3% +53.7% to +62.4%: 4 occurrences (0.8%) +62.4% to +71.1%: 4 occurrences (0.8%) +71.1% to +79.8%: 6 occurrences (1.2%) 75.5% +79.8% to +88.6%: 7 occurrences (1.4%) +88.6% to +97.3%: 1 occurrences (0.2%) +97.3% to +106.0%: 1 occurrences (0.2%) 101.7%
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) 62.2% 25.0% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 22.0% Adjusts normal bell curve for real-world skewness (1.1) and kurtosis (12.83).
Standard Normal (Black-Scholes / GBM) 80.2% 40.1% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 59.3% 28.1% Filters for historical windows that started with volatility similar to current 20-day HV (295 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 82.7%
  • Recent 20-Day HV: 69.2%
  • Parkinson Intraday Volatility: 53.1%
  • Vol Trend: Compressed (-16% vs baseline)

14-Day Return Quantiles

  • Median Return: -3.8%
  • Top 10% Move (90th percentile): +20.0%
  • Bottom 10% Move (10th percentile): -18.2%
  • Max Historical Gain (14d): +106.0%
  • Max Historical Loss (14d): -33.6%