Finance

STRS Move Probability $19.10 -0.78 (-3.9%)

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)
34.7%
Stock touched +5.0% ($20.06) at least once during 14 trading days.
Median first touch: Day 5 of 14
Expiration Close Probability
22.9%
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%)
±9.5%
$17.28 — $20.92

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 507 historical windows (2024-09-23 to 2026-10-20). The colored bar indicates the win zone for +5.0%.

-23.6% to -20.2%: 7 occurrences (1.4%) -21.9% -20.2% to -16.8%: 4 occurrences (0.8%) -16.8% to -13.4%: 9 occurrences (1.8%) -13.4% to -10.0%: 28 occurrences (5.5%) -11.7% -10.0% to -6.6%: 46 occurrences (9.1%) -6.6% to -3.2%: 84 occurrences (16.6%) -3.2% to +0.2%: 147 occurrences (29.0%) -1.5% +0.2% to +3.7%: 59 occurrences (11.6%) +3.7% to +7.1%: 20 occurrences (3.9%) +7.1% to +10.5%: 14 occurrences (2.8%) 8.8% +10.5% to +13.9%: 33 occurrences (6.5%) +13.9% to +17.3%: 25 occurrences (4.9%) +17.3% to +20.7%: 18 occurrences (3.6%) 19.0% +20.7% to +24.1%: 7 occurrences (1.4%) +24.1% to +27.5%: 3 occurrences (0.6%) +27.5% to +30.9%: 3 occurrences (0.6%) 29.2%
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) 34.7% 22.9% Model-free reality across 507 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 9.4% Adjusts normal bell curve for real-world skewness (0.99) and kurtosis (12.68).
Standard Normal (Black-Scholes / GBM) 60.8% 30.4% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 0.0% 0.0% Filters for historical windows that started with volatility similar to current 20-day HV (18 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 40.3%
  • Recent 20-Day HV: 0.0%
  • Parkinson Intraday Volatility: 9.8%
  • Vol Trend: Compressed (-100% vs baseline)

14-Day Return Quantiles

  • Median Return: -0.8%
  • Top 10% Move (90th percentile): +14.2%
  • Bottom 10% Move (10th percentile): -9.8%
  • Max Historical Gain (14d): +30.9%
  • Max Historical Loss (14d): -23.6%