Finance

SQ Move Probability $86.95 +0.60 (+0.7%)

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)
74.6%
Stock touched +5.0% ($91.30) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
52.2%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.43x
You are 1.4x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±11.3%
$77.16 — $96.74

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 67 historical windows (2024-09-23 to 2025-01-17). The colored bar indicates the win zone for +5.0%.

-11.6% to -9.1%: 3 occurrences (4.5%) -10.4% -9.1% to -6.6%: 4 occurrences (6.0%) -6.6% to -4.1%: 7 occurrences (10.4%) -4.1% to -1.6%: 4 occurrences (6.0%) -2.9% -1.6% to +0.9%: 6 occurrences (9.0%) +0.9% to +3.4%: 6 occurrences (9.0%) +3.4% to +5.9%: 4 occurrences (6.0%) 4.6% +5.9% to +8.4%: 5 occurrences (7.5%) +8.4% to +10.9%: 7 occurrences (10.4%) +10.9% to +13.4%: 5 occurrences (7.5%) 12.2% +13.4% to +15.9%: 5 occurrences (7.5%) +15.9% to +18.4%: 3 occurrences (4.5%) +18.4% to +20.9%: 1 occurrences (1.5%) 19.7% +20.9% to +23.5%: 1 occurrences (1.5%) +23.5% to +26.0%: 3 occurrences (4.5%) +26.0% to +28.5%: 3 occurrences (4.5%) 27.2%
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) 74.6% 52.2% Model-free reality across 67 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 28.2% Adjusts normal bell curve for real-world skewness (0.63) and kurtosis (1.6).
Standard Normal (Black-Scholes / GBM) 66.5% 33.2% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 65.7% 31.4% Filters for historical windows that started with volatility similar to current 20-day HV (35 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 47.8%
  • Recent 20-Day HV: 51.4%
  • Parkinson Intraday Volatility: 36.1%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: +5.3%
  • Top 10% Move (90th percentile): +18.8%
  • Bottom 10% Move (10th percentile): -6.5%
  • Max Historical Gain (14d): +28.5%
  • Max Historical Loss (14d): -11.6%