Finance

SSP Move Probability $2.41 -0.24 (-9.2%)

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)
72.8%
Stock touched +5.0% ($2.53) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
36.8%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.98x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±22.4%
$1.87 — $2.95

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%.

-46.7% to -36.1%: 5 occurrences (1.0%) -41.4% -36.1% to -25.6%: 23 occurrences (4.5%) -25.6% to -15.1%: 73 occurrences (14.4%) -15.1% to -4.5%: 130 occurrences (25.6%) -9.8% -4.5% to +6.0%: 98 occurrences (19.3%) +6.0% to +16.6%: 72 occurrences (14.2%) +16.6% to +27.1%: 45 occurrences (8.9%) 21.8% +27.1% to +37.6%: 25 occurrences (4.9%) +37.6% to +48.2%: 10 occurrences (2.0%) +48.2% to +58.7%: 8 occurrences (1.6%) 53.5% +58.7% to +69.3%: 2 occurrences (0.4%) +69.3% to +79.8%: 3 occurrences (0.6%) +79.8% to +90.4%: 3 occurrences (0.6%) 85.1% +90.4% to +100.9%: 0 occurrences (0.0%) +100.9% to +111.4%: 5 occurrences (1.0%) +111.4% to +122.0%: 6 occurrences (1.2%) 116.7%
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) 72.8% 36.8% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 28.0% Adjusts normal bell curve for real-world skewness (0.49) and kurtosis (11.02).
Standard Normal (Black-Scholes / GBM) 82.8% 41.4% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 67.7% 39.6% Filters for historical windows that started with volatility similar to current 20-day HV (217 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 95.2%
  • Recent 20-Day HV: 58.6%
  • Parkinson Intraday Volatility: 78.4%
  • Vol Trend: Compressed (-38% vs baseline)

14-Day Return Quantiles

  • Median Return: -2.4%
  • Top 10% Move (90th percentile): +31.7%
  • Bottom 10% Move (10th percentile): -21.4%
  • Max Historical Gain (14d): +122.0%
  • Max Historical Loss (14d): -46.7%