Finance

SRFM Move Probability $0.84 -0.03 (-3.6%)

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

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Touch Probability (First Passage)
79.7%
Stock touched +5.0% ($0.88) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
33.1%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.41x
You are 2.4x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±34.1%
$0.55 — $1.13

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%.

-52.6% to -27.3%: 67 occurrences (13.2%) -40.0% -27.3% to -2.1%: 226 occurrences (44.5%) -2.1% to +23.2%: 131 occurrences (25.8%) +23.2% to +48.5%: 34 occurrences (6.7%) 35.9% +48.5% to +73.8%: 22 occurrences (4.3%) +73.8% to +99.0%: 11 occurrences (2.2%) +99.0% to +124.3%: 6 occurrences (1.2%) 111.7% +124.3% to +149.6%: 3 occurrences (0.6%) +149.6% to +174.9%: 2 occurrences (0.4%) +174.9% to +200.1%: 1 occurrences (0.2%) 187.5% +200.1% to +225.4%: 1 occurrences (0.2%) +225.4% to +250.7%: 2 occurrences (0.4%) +250.7% to +276.0%: 1 occurrences (0.2%) 263.3% +276.0% to +301.2%: 0 occurrences (0.0%) +301.2% to +326.5%: 0 occurrences (0.0%) +326.5% to +351.8%: 1 occurrences (0.2%) 339.2%
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) 79.7% 33.1% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 33.1% Adjusts normal bell curve for real-world skewness (1.07) and kurtosis (8.02).
Standard Normal (Black-Scholes / GBM) 88.6% 44.3% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 77.6% 31.6% Filters for historical windows that started with volatility similar to current 20-day HV (263 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 144.6%
  • Recent 20-Day HV: 134.3%
  • Parkinson Intraday Volatility: 114.3%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: -5.7%
  • Top 10% Move (90th percentile): +46.9%
  • Bottom 10% Move (10th percentile): -30.1%
  • Max Historical Gain (14d): +351.8%
  • Max Historical Loss (14d): -52.6%