Finance

STLY Move Probability $3.58 -0.20 (-5.3%)

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)
40.0%
Stock touched +5.0% ($3.76) at least once during 14 trading days.
Median first touch: Day 6 of 14
Expiration Close Probability
26.3%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.52x
You are 1.5x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±23.2%
$2.75 — $4.41

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 487 historical windows (2024-10-22 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-41.0% to -34.2%: 13 occurrences (2.7%) -37.6% -34.2% to -27.4%: 2 occurrences (0.4%) -27.4% to -20.5%: 15 occurrences (3.1%) -20.5% to -13.7%: 33 occurrences (6.8%) -17.1% -13.7% to -6.9%: 62 occurrences (12.7%) -6.9% to -0.1%: 102 occurrences (20.9%) -0.1% to +6.7%: 162 occurrences (33.3%) 3.3% +6.7% to +13.6%: 47 occurrences (9.7%) +13.6% to +20.4%: 11 occurrences (2.3%) +20.4% to +27.2%: 21 occurrences (4.3%) 23.8% +27.2% to +34.0%: 13 occurrences (2.7%) +34.0% to +40.8%: 1 occurrences (0.2%) +40.8% to +47.7%: 3 occurrences (0.6%) 44.3% +47.7% to +54.5%: 0 occurrences (0.0%) +54.5% to +61.3%: 0 occurrences (0.0%) +61.3% to +68.1%: 2 occurrences (0.4%) 64.7%
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) 40.0% 26.3% Model-free reality across 487 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 11.9% Adjusts normal bell curve for real-world skewness (0.58) and kurtosis (34.29).
Standard Normal (Black-Scholes / GBM) 83.4% 41.7% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 61.0% 42.4% Filters for historical windows that started with volatility similar to current 20-day HV (118 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 98.5%
  • Recent 20-Day HV: 34.3%
  • Parkinson Intraday Volatility: 59.8%
  • Vol Trend: Compressed (-65% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.0%
  • Top 10% Move (90th percentile): +14.9%
  • Bottom 10% Move (10th percentile): -17.3%
  • Max Historical Gain (14d): +68.1%
  • Max Historical Loss (14d): -41.0%