Finance

STRA Move Probability $79.52 -1.23 (-1.5%)

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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Touch Probability (First Passage)
42.1%
Stock touched +5.0% ($83.50) at least once during 14 trading days.
Median first touch: Day 7 of 14
Expiration Close Probability
20.9%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.02x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±8.0%
$73.14 — $85.90

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%.

-22.3% to -19.9%: 4 occurrences (0.8%) -21.1% -19.9% to -17.5%: 10 occurrences (2.0%) -17.5% to -15.1%: 0 occurrences (0.0%) -15.1% to -12.7%: 3 occurrences (0.6%) -13.9% -12.7% to -10.3%: 4 occurrences (0.8%) -10.3% to -7.9%: 14 occurrences (2.8%) -7.9% to -5.5%: 61 occurrences (12.0%) -6.7% -5.5% to -3.1%: 58 occurrences (11.4%) -3.1% to -0.7%: 65 occurrences (12.8%) -0.7% to +1.7%: 74 occurrences (14.6%) 0.5% +1.7% to +4.1%: 83 occurrences (16.3%) +4.1% to +6.5%: 63 occurrences (12.4%) +6.5% to +8.9%: 29 occurrences (5.7%) 7.7% +8.9% to +11.3%: 21 occurrences (4.1%) +11.3% to +13.7%: 14 occurrences (2.8%) +13.7% to +16.1%: 5 occurrences (1.0%) 14.9%
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) 42.1% 20.9% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 9.1% Adjusts normal bell curve for real-world skewness (-2.55) and kurtosis (21.92).
Standard Normal (Black-Scholes / GBM) 54.3% 27.2% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 44.0% 20.7% Filters for historical windows that started with volatility similar to current 20-day HV (300 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 34.0%
  • Recent 20-Day HV: 25.6%
  • Parkinson Intraday Volatility: 21.8%
  • Vol Trend: Compressed (-25% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.6%
  • Top 10% Move (90th percentile): +7.6%
  • Bottom 10% Move (10th percentile): -6.9%
  • Max Historical Gain (14d): +16.1%
  • Max Historical Loss (14d): -22.3%