Finance

SSTK Move Probability $4.56 -0.05 (-1.1%)

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)
60.4%
Stock touched +5.0% ($4.79) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
21.9%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.77x
You are 2.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±15.0%
$3.87 — $5.25

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%.

-48.1% to -43.3%: 7 occurrences (1.4%) -45.7% -43.3% to -38.5%: 2 occurrences (0.4%) -38.5% to -33.7%: 7 occurrences (1.4%) -33.7% to -28.9%: 10 occurrences (2.0%) -31.3% -28.9% to -24.1%: 11 occurrences (2.2%) -24.1% to -19.3%: 23 occurrences (4.5%) -19.3% to -14.4%: 29 occurrences (5.7%) -16.8% -14.4% to -9.6%: 43 occurrences (8.5%) -9.6% to -4.8%: 76 occurrences (15.0%) -4.8% to +0.0%: 89 occurrences (17.5%) -2.4% +0.0% to +4.8%: 99 occurrences (19.5%) +4.8% to +9.6%: 63 occurrences (12.4%) +9.6% to +14.4%: 28 occurrences (5.5%) 12.0% +14.4% to +19.3%: 13 occurrences (2.6%) +19.3% to +24.1%: 6 occurrences (1.2%) +24.1% to +28.9%: 2 occurrences (0.4%) 26.5%
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) 60.4% 21.9% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 27.3% Adjusts normal bell curve for real-world skewness (-1.18) and kurtosis (13.13).
Standard Normal (Black-Scholes / GBM) 74.5% 37.3% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 68.7% 22.3% Filters for historical windows that started with volatility similar to current 20-day HV (211 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 63.8%
  • Recent 20-Day HV: 78.0%
  • Parkinson Intraday Volatility: 45.0%
  • Vol Trend: Expanded (+22% vs baseline)

14-Day Return Quantiles

  • Median Return: -2.4%
  • Top 10% Move (90th percentile): +9.3%
  • Bottom 10% Move (10th percentile): -21.2%
  • Max Historical Gain (14d): +28.9%
  • Max Historical Loss (14d): -48.1%