Finance

STEP Move Probability $42.39 -0.57 (-1.3%)

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)
59.3%
Stock touched +5.0% ($44.51) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
30.7%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.93x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±11.0%
$37.72 — $47.06

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 -33.1%: 1 occurrences (0.2%) -35.1% -33.1% to -29.1%: 2 occurrences (0.4%) -29.1% to -25.2%: 4 occurrences (0.8%) -25.2% to -21.3%: 10 occurrences (2.0%) -23.2% -21.3% to -17.3%: 17 occurrences (3.3%) -17.3% to -13.4%: 15 occurrences (3.0%) -13.4% to -9.5%: 23 occurrences (4.5%) -11.4% -9.5% to -5.5%: 58 occurrences (11.4%) -5.5% to -1.6%: 75 occurrences (14.8%) -1.6% to +2.3%: 97 occurrences (19.1%) 0.4% +2.3% to +6.3%: 74 occurrences (14.6%) +6.3% to +10.2%: 63 occurrences (12.4%) +10.2% to +14.1%: 34 occurrences (6.7%) 12.2% +14.1% to +18.1%: 23 occurrences (4.5%) +18.1% to +22.0%: 9 occurrences (1.8%) +22.0% to +26.0%: 3 occurrences (0.6%) 24.0%
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) 59.3% 30.7% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 28.7% Adjusts normal bell curve for real-world skewness (-0.29) and kurtosis (3.12).
Standard Normal (Black-Scholes / GBM) 65.8% 32.9% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 55.1% 28.7% Filters for historical windows that started with volatility similar to current 20-day HV (296 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 46.7%
  • Recent 20-Day HV: 34.2%
  • Parkinson Intraday Volatility: 36.0%
  • Vol Trend: Compressed (-27% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.2%
  • Top 10% Move (90th percentile): +12.0%
  • Bottom 10% Move (10th percentile): -13.2%
  • Max Historical Gain (14d): +26.0%
  • Max Historical Loss (14d): -37.0%