Finance

STRW Move Probability $12.65 +0.12 (+1.0%)

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)
41.9%
Stock touched +5.0% ($13.29) at least once during 14 trading days.
Median first touch: Day 6 of 14
Expiration Close Probability
22.6%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.85x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±9.2%
$11.49 — $13.82

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%.

-18.7% to -16.4%: 4 occurrences (0.8%) -17.6% -16.4% to -14.1%: 5 occurrences (1.0%) -14.1% to -11.8%: 6 occurrences (1.2%) -11.8% to -9.4%: 9 occurrences (1.8%) -10.6% -9.4% to -7.1%: 18 occurrences (3.5%) -7.1% to -4.8%: 37 occurrences (7.3%) -4.8% to -2.5%: 62 occurrences (12.2%) -3.6% -2.5% to -0.2%: 79 occurrences (15.6%) -0.2% to +2.2%: 83 occurrences (16.3%) +2.2% to +4.5%: 78 occurrences (15.4%) 3.3% +4.5% to +6.8%: 65 occurrences (12.8%) +6.8% to +9.1%: 27 occurrences (5.3%) +9.1% to +11.4%: 19 occurrences (3.7%) 10.3% +11.4% to +13.7%: 5 occurrences (1.0%) +13.7% to +16.1%: 6 occurrences (1.2%) +16.1% to +18.4%: 5 occurrences (1.0%) 17.2%
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) 41.9% 22.6% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 5.9% Adjusts normal bell curve for real-world skewness (-2.59) and kurtosis (29.56).
Standard Normal (Black-Scholes / GBM) 59.5% 29.8% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 38.9% 20.9% 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: 39.0%
  • Recent 20-Day HV: 27.2%
  • Parkinson Intraday Volatility: 21.8%
  • Vol Trend: Compressed (-30% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.9%
  • Top 10% Move (90th percentile): +7.6%
  • Bottom 10% Move (10th percentile): -6.4%
  • Max Historical Gain (14d): +18.4%
  • Max Historical Loss (14d): -18.7%