Finance

SQFT Move Probability $0.81 +0.01 (+1.1%)

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)
46.9%
Stock touched +5.0% ($0.85) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
28.8%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.63x
You are 1.6x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±69.9%
$0.24 — $1.37

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 507 historical windows (2024-09-23 to 2026-10-20). The colored bar indicates the win zone for +5.0%.

-90.6% to -37.1%: 16 occurrences (3.2%) -63.8% -37.1% to +16.5%: 391 occurrences (77.1%) +16.5% to +70.1%: 53 occurrences (10.5%) +70.1% to +123.7%: 16 occurrences (3.2%) 96.9% +123.7% to +177.3%: 2 occurrences (0.4%) +177.3% to +230.9%: 1 occurrences (0.2%) +230.9% to +284.4%: 0 occurrences (0.0%) 257.7% +284.4% to +338.0%: 0 occurrences (0.0%) +338.0% to +391.6%: 0 occurrences (0.0%) +391.6% to +445.2%: 0 occurrences (0.0%) 418.4% +445.2% to +498.8%: 1 occurrences (0.2%) +498.8% to +552.4%: 0 occurrences (0.0%) +552.4% to +605.9%: 4 occurrences (0.8%) 579.2% +605.9% to +659.5%: 13 occurrences (2.6%) +659.5% to +713.1%: 6 occurrences (1.2%) +713.1% to +766.7%: 4 occurrences (0.8%) 739.9%
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) 46.9% 28.8% Model-free reality across 507 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 8.8% Adjusts normal bell curve for real-world skewness (2.47) and kurtosis (107.47).
Standard Normal (Black-Scholes / GBM) 94.4% 47.2% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 33.5% 15.5% Filters for historical windows that started with volatility similar to current 20-day HV (194 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 296.6%
  • Recent 20-Day HV: 67.8%
  • Parkinson Intraday Volatility: 56.3%
  • Vol Trend: Compressed (-77% vs baseline)

14-Day Return Quantiles

  • Median Return: -2.6%
  • Top 10% Move (90th percentile): +64.5%
  • Bottom 10% Move (10th percentile): -24.1%
  • Max Historical Gain (14d): +766.7%
  • Max Historical Loss (14d): -90.6%