Finance

STDN Move Probability $13.36 -0.37 (-2.7%)

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)
62.7%
Stock touched +5.0% ($14.03) at least once during 3 trading days.
Median first touch: Day 1 of 3
Expiration Close Probability
28.8%
Stock closed at or beyond +5.0% at the end of the 3-day window.
The Touch Multiple
2.18x
You are 2.2x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±13.2%
$11.60 — $15.12

Historical 3-Day Return Distribution

Frequency of rolling 3-day percentage returns over 59 historical windows (2026-07-16 to 2026-10-12). The colored bar indicates the win zone for +5.0%.

-26.7% to -22.0%: 1 occurrences (1.7%) -24.3% -22.0% to -17.2%: 1 occurrences (1.7%) -17.2% to -12.4%: 2 occurrences (3.4%) -12.4% to -7.6%: 12 occurrences (20.3%) -10.0% -7.6% to -2.8%: 4 occurrences (6.8%) -2.8% to +1.9%: 12 occurrences (20.3%) +1.9% to +6.7%: 10 occurrences (16.9%) 4.3% +6.7% to +11.5%: 6 occurrences (10.2%) +11.5% to +16.3%: 4 occurrences (6.8%) +16.3% to +21.1%: 3 occurrences (5.1%) 18.7% +21.1% to +25.8%: 1 occurrences (1.7%) +25.8% to +30.6%: 0 occurrences (0.0%) +30.6% to +35.4%: 1 occurrences (1.7%) 33.0% +35.4% to +40.2%: 1 occurrences (1.7%) +40.2% to +44.9%: 0 occurrences (0.0%) +44.9% to +49.7%: 1 occurrences (1.7%) 47.3%
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) 62.7% 28.8% Model-free reality across 59 historical 3-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 27.8% Adjusts normal bell curve for real-world skewness (0.97) and kurtosis (2.79).
Standard Normal (Black-Scholes / GBM) 71.1% 35.5% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 57.9% 26.3% Filters for historical windows that started with volatility similar to current 20-day HV (19 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 120.7%
  • Recent 20-Day HV: 87.1%
  • Parkinson Intraday Volatility: 85.1%
  • Vol Trend: Compressed (-28% vs baseline)

3-Day Return Quantiles

  • Median Return: +1.2%
  • Top 10% Move (90th percentile): +17.4%
  • Bottom 10% Move (10th percentile): -10.6%
  • Max Historical Gain (3d): +49.7%
  • Max Historical Loss (3d): -26.7%