Finance

SSTI Move Probability $8.40 +0.03 (+0.4%)

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)
62.8%
Stock touched +5.0% ($8.82) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
30.5%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.06x
You are 2.1x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±16.0%
$7.06 — $9.74

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%.

-37.0% to -31.3%: 6 occurrences (1.2%) -34.2% -31.3% to -25.7%: 14 occurrences (2.8%) -25.7% to -20.1%: 18 occurrences (3.5%) -20.1% to -14.4%: 28 occurrences (5.5%) -17.3% -14.4% to -8.8%: 50 occurrences (9.8%) -8.8% to -3.2%: 98 occurrences (19.3%) -3.2% to +2.4%: 101 occurrences (19.9%) -0.4% +2.4% to +8.1%: 75 occurrences (14.8%) +8.1% to +13.7%: 44 occurrences (8.7%) +13.7% to +19.3%: 35 occurrences (6.9%) 16.5% +19.3% to +25.0%: 16 occurrences (3.1%) +25.0% to +30.6%: 7 occurrences (1.4%) +30.6% to +36.2%: 2 occurrences (0.4%) 33.4% +36.2% to +41.9%: 3 occurrences (0.6%) +41.9% to +47.5%: 4 occurrences (0.8%) +47.5% to +53.1%: 7 occurrences (1.4%) 50.3%
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) 62.8% 30.5% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 11.3% Adjusts normal bell curve for real-world skewness (0.91) and kurtosis (21.59).
Standard Normal (Black-Scholes / GBM) 76.0% 38.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 53.7% 14.6% Filters for historical windows that started with volatility similar to current 20-day HV (41 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 67.7%
  • Recent 20-Day HV: 146.8%
  • Parkinson Intraday Volatility: 38.3%
  • Vol Trend: Expanded (+117% vs baseline)

14-Day Return Quantiles

  • Median Return: -0.6%
  • Top 10% Move (90th percentile): +17.2%
  • Bottom 10% Move (10th percentile): -18.1%
  • Max Historical Gain (14d): +53.1%
  • Max Historical Loss (14d): -37.0%