Finance

SRTA Move Probability $4.74 +0.04 (+0.9%)

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)
77.4%
Stock touched +5.0% ($4.98) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
37.4%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.07x
You are 2.1x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±14.7%
$4.04 — $5.44

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%.

-26.0% to -21.3%: 4 occurrences (0.8%) -23.7% -21.3% to -16.6%: 24 occurrences (4.7%) -16.6% to -11.9%: 41 occurrences (8.1%) -11.9% to -7.2%: 81 occurrences (15.9%) -9.6% -7.2% to -2.6%: 71 occurrences (14.0%) -2.6% to +2.1%: 59 occurrences (11.6%) +2.1% to +6.8%: 58 occurrences (11.4%) 4.5% +6.8% to +11.5%: 50 occurrences (9.8%) +11.5% to +16.2%: 35 occurrences (6.9%) +16.2% to +20.9%: 29 occurrences (5.7%) 18.6% +20.9% to +25.6%: 29 occurrences (5.7%) +25.6% to +30.3%: 15 occurrences (3.0%) +30.3% to +35.0%: 8 occurrences (1.6%) 32.6% +35.0% to +39.7%: 2 occurrences (0.4%) +39.7% to +44.4%: 0 occurrences (0.0%) +44.4% to +49.1%: 2 occurrences (0.4%) 46.7%
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) 77.4% 37.4% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 31.9% Adjusts normal bell curve for real-world skewness (0.63) and kurtosis (1.6).
Standard Normal (Black-Scholes / GBM) 74.0% 37.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 75.4% 39.1% Filters for historical windows that started with volatility similar to current 20-day HV (179 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 62.4%
  • Recent 20-Day HV: 41.9%
  • Parkinson Intraday Volatility: 53.6%
  • Vol Trend: Compressed (-33% vs baseline)

14-Day Return Quantiles

  • Median Return: -0.2%
  • Top 10% Move (90th percentile): +21.1%
  • Bottom 10% Move (10th percentile): -13.3%
  • Max Historical Gain (14d): +49.1%
  • Max Historical Loss (14d): -26.0%