Finance

SRE Move Probability $83.52 +0.70 (+0.8%)

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)
28.7%
Stock touched +5.0% ($87.70) at least once during 14 trading days.
Median first touch: Day 7 of 14
Expiration Close Probability
17.1%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.68x
You are 1.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±6.3%
$78.23 — $88.81

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%.

-22.1% to -19.6%: 2 occurrences (0.4%) -20.9% -19.6% to -17.1%: 4 occurrences (0.8%) -17.1% to -14.6%: 2 occurrences (0.4%) -14.6% to -12.1%: 5 occurrences (1.0%) -13.3% -12.1% to -9.5%: 3 occurrences (0.6%) -9.5% to -7.0%: 15 occurrences (3.0%) -7.0% to -4.5%: 51 occurrences (10.0%) -5.7% -4.5% to -2.0%: 74 occurrences (14.6%) -2.0% to +0.6%: 115 occurrences (22.6%) +0.6% to +3.1%: 105 occurrences (20.7%) 1.8% +3.1% to +5.6%: 61 occurrences (12.0%) +5.6% to +8.1%: 32 occurrences (6.3%) +8.1% to +10.7%: 22 occurrences (4.3%) 9.4% +10.7% to +13.2%: 9 occurrences (1.8%) +13.2% to +15.7%: 4 occurrences (0.8%) +15.7% to +18.2%: 4 occurrences (0.8%) 17.0%
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) 28.7% 17.1% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 0.2% Adjusts normal bell curve for real-world skewness (-3.71) and kurtosis (46.03).
Standard Normal (Black-Scholes / GBM) 44.1% 22.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 24.2% 16.1% Filters for historical windows that started with volatility similar to current 20-day HV (330 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 26.9%
  • Recent 20-Day HV: 17.1%
  • Parkinson Intraday Volatility: 20.6%
  • Vol Trend: Compressed (-36% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.2%
  • Top 10% Move (90th percentile): +7.3%
  • Bottom 10% Move (10th percentile): -5.6%
  • Max Historical Gain (14d): +18.2%
  • Max Historical Loss (14d): -22.1%