Finance

SSRM Move Probability $33.45 -2.00 (-5.6%)

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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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
40.5%
Stock touched +5.0% ($35.12) at least once during 3 trading days.
Median first touch: Day 2 of 3
Expiration Close Probability
25.0%
Stock closed at or beyond +5.0% at the end of the 3-day window.
The Touch Multiple
1.62x
You are 1.6x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±6.8%
$31.18 — $35.72

Historical 3-Day Return Distribution

Frequency of rolling 3-day percentage returns over 519 historical windows (2024-09-13 to 2026-10-13). The colored bar indicates the win zone for +5.0%.

-19.3% to -16.4%: 3 occurrences (0.6%) -17.8% -16.4% to -13.4%: 6 occurrences (1.2%) -13.4% to -10.5%: 5 occurrences (1.0%) -10.5% to -7.6%: 29 occurrences (5.6%) -9.0% -7.6% to -4.6%: 47 occurrences (9.1%) -4.6% to -1.7%: 77 occurrences (14.8%) -1.7% to +1.3%: 104 occurrences (20.0%) -0.2% +1.3% to +4.2%: 106 occurrences (20.4%) +4.2% to +7.1%: 60 occurrences (11.6%) +7.1% to +10.1%: 41 occurrences (7.9%) 8.6% +10.1% to +13.0%: 12 occurrences (2.3%) +13.0% to +15.9%: 11 occurrences (2.1%) +15.9% to +18.9%: 8 occurrences (1.5%) 17.4% +18.9% to +21.8%: 7 occurrences (1.3%) +21.8% to +24.7%: 1 occurrences (0.2%) +24.7% to +27.7%: 2 occurrences (0.4%) 26.2%
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) 40.5% 25.0% Model-free reality across 519 historical 3-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 19.2% Adjusts normal bell curve for real-world skewness (0.08) and kurtosis (1.97).
Standard Normal (Black-Scholes / GBM) 47.2% 23.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 40.8% 25.5% Filters for historical windows that started with volatility similar to current 20-day HV (353 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 62.2%
  • Recent 20-Day HV: 50.3%
  • Parkinson Intraday Volatility: 44.9%
  • Vol Trend: Compressed (-19% vs baseline)

3-Day Return Quantiles

  • Median Return: +0.7%
  • Top 10% Move (90th percentile): +8.6%
  • Bottom 10% Move (10th percentile): -6.8%
  • Max Historical Gain (3d): +27.7%
  • Max Historical Loss (3d): -19.3%