Finance

SSPC Move Probability $7.34 -1.38 (-15.8%)

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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Touch Probability (First Passage)
77.6%
Stock touched +5.0% ($7.71) at least once during 14 trading days.
Median first touch: Day 1 of 14
Expiration Close Probability
30.3%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.57x
You are 2.6x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±35.7%
$4.72 — $9.96

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 76 historical windows (2026-06-15 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-51.7% to -43.3%: 9 occurrences (11.8%) -47.5% -43.3% to -35.0%: 3 occurrences (3.9%) -35.0% to -26.7%: 4 occurrences (5.3%) -26.7% to -18.3%: 7 occurrences (9.2%) -22.5% -18.3% to -10.0%: 16 occurrences (21.1%) -10.0% to -1.6%: 8 occurrences (10.5%) -1.6% to +6.7%: 7 occurrences (9.2%) 2.6% +6.7% to +15.1%: 2 occurrences (2.6%) +15.1% to +23.4%: 2 occurrences (2.6%) +23.4% to +31.8%: 2 occurrences (2.6%) 27.6% +31.8% to +40.1%: 4 occurrences (5.3%) +40.1% to +48.5%: 1 occurrences (1.3%) +48.5% to +56.8%: 1 occurrences (1.3%) 52.7% +56.8% to +65.2%: 4 occurrences (5.3%) +65.2% to +73.5%: 1 occurrences (1.3%) +73.5% to +81.9%: 5 occurrences (6.6%) 77.7%
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) 77.6% 30.3% Model-free reality across 76 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 46.8% Adjusts normal bell curve for real-world skewness (-0.58) and kurtosis (2.53).
Standard Normal (Black-Scholes / GBM) 89.1% 44.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 80.0% 8.6% Filters for historical windows that started with volatility similar to current 20-day HV (35 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 151.5%
  • Recent 20-Day HV: 119.2%
  • Parkinson Intraday Volatility: 128.1%
  • Vol Trend: Compressed (-21% vs baseline)

14-Day Return Quantiles

  • Median Return: -10.3%
  • Top 10% Move (90th percentile): +60.0%
  • Bottom 10% Move (10th percentile): -44.7%
  • Max Historical Gain (14d): +81.9%
  • Max Historical Loss (14d): -51.7%