Finance

STIM Move Probability $2.02 +0.05 (+2.3%)

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)
79.5%
Stock touched +5.0% ($2.12) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
46.1%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.73x
You are 1.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±25.7%
$1.50 — $2.53

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%.

-55.7% to -44.2%: 8 occurrences (1.6%) -49.9% -44.2% to -32.6%: 20 occurrences (3.9%) -32.6% to -21.0%: 48 occurrences (9.4%) -21.0% to -9.5%: 88 occurrences (17.3%) -15.2% -9.5% to +2.1%: 84 occurrences (16.5%) +2.1% to +13.7%: 88 occurrences (17.3%) +13.7% to +25.2%: 60 occurrences (11.8%) 19.5% +25.2% to +36.8%: 42 occurrences (8.3%) +36.8% to +48.4%: 28 occurrences (5.5%) +48.4% to +59.9%: 18 occurrences (3.5%) 54.2% +59.9% to +71.5%: 9 occurrences (1.8%) +71.5% to +83.1%: 11 occurrences (2.2%) +83.1% to +94.6%: 1 occurrences (0.2%) 88.9% +94.6% to +106.2%: 1 occurrences (0.2%) +106.2% to +117.8%: 1 occurrences (0.2%) +117.8% to +129.3%: 1 occurrences (0.2%) 123.6%
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) 79.5% 46.1% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 34.7% Adjusts normal bell curve for real-world skewness (0.14) and kurtosis (7.76).
Standard Normal (Black-Scholes / GBM) 85.0% 42.5% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 65.1% 21.2% Filters for historical windows that started with volatility similar to current 20-day HV (146 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 109.2%
  • Recent 20-Day HV: 58.6%
  • Parkinson Intraday Volatility: 94.2%
  • Vol Trend: Compressed (-46% vs baseline)

14-Day Return Quantiles

  • Median Return: +2.8%
  • Top 10% Move (90th percentile): +43.0%
  • Bottom 10% Move (10th percentile): -26.4%
  • Max Historical Gain (14d): +129.3%
  • Max Historical Loss (14d): -55.7%