Finance

STEM Move Probability $3.34 -0.14 (-4.0%)

Real historical back-data analysis: evaluates rolling trading-day windows to determine the probability of a stock touching or closing at your target move.

← Back to STEM Options chain →
Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
74.2%
Stock touched +5.0% ($3.51) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
31.7%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.34x
You are 2.3x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±30.3%
$2.33 — $4.35

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%.

-49.4% to -30.7%: 35 occurrences (6.9%) -40.1% -30.7% to -12.0%: 154 occurrences (30.3%) -12.0% to +6.7%: 167 occurrences (32.9%) +6.7% to +25.4%: 67 occurrences (13.2%) 16.1% +25.4% to +44.2%: 37 occurrences (7.3%) +44.2% to +62.9%: 21 occurrences (4.1%) +62.9% to +81.6%: 8 occurrences (1.6%) 72.2% +81.6% to +100.3%: 4 occurrences (0.8%) +100.3% to +119.0%: 5 occurrences (1.0%) +119.0% to +137.8%: 2 occurrences (0.4%) 128.4% +137.8% to +156.5%: 3 occurrences (0.6%) +156.5% to +175.2%: 2 occurrences (0.4%) +175.2% to +193.9%: 0 occurrences (0.0%) 184.6% +193.9% to +212.6%: 1 occurrences (0.2%) +212.6% to +231.4%: 1 occurrences (0.2%) +231.4% to +250.1%: 1 occurrences (0.2%) 240.7%
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) 74.2% 31.7% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 35.2% Adjusts normal bell curve for real-world skewness (0.87) and kurtosis (4.76).
Standard Normal (Black-Scholes / GBM) 87.2% 43.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 72.3% 33.1% Filters for historical windows that started with volatility similar to current 20-day HV (347 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 128.4%
  • Recent 20-Day HV: 100.1%
  • Parkinson Intraday Volatility: 96.5%
  • Vol Trend: Compressed (-22% vs baseline)

14-Day Return Quantiles

  • Median Return: -5.8%
  • Top 10% Move (90th percentile): +40.2%
  • Bottom 10% Move (10th percentile): -28.2%
  • Max Historical Gain (14d): +250.1%
  • Max Historical Loss (14d): -49.4%