Finance

STUB Move Probability $5.92 -0.01 (-0.2%)

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)
21.5%
Stock touched +5.0% ($6.22) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
10.9%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
1.97x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±4.8%
$5.63 — $6.21

Historical 1-Day Return Distribution

Frequency of rolling 1-day percentage returns over 275 historical windows (2025-09-17 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-20.4% to -18.3%: 1 occurrences (0.4%) -19.3% -18.3% to -16.1%: 0 occurrences (0.0%) -16.1% to -14.0%: 2 occurrences (0.7%) -14.0% to -11.9%: 2 occurrences (0.7%) -12.9% -11.9% to -9.7%: 3 occurrences (1.1%) -9.7% to -7.6%: 8 occurrences (2.9%) -7.6% to -5.4%: 17 occurrences (6.2%) -6.5% -5.4% to -3.3%: 36 occurrences (13.1%) -3.3% to -1.2%: 42 occurrences (15.3%) -1.2% to +1.0%: 60 occurrences (21.8%) -0.1% +1.0% to +3.1%: 42 occurrences (15.3%) +3.1% to +5.2%: 33 occurrences (12.0%) +5.2% to +7.4%: 17 occurrences (6.2%) 6.3% +7.4% to +9.5%: 5 occurrences (1.8%) +9.5% to +11.7%: 5 occurrences (1.8%) +11.7% to +13.8%: 2 occurrences (0.7%) 12.7%
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) 21.5% 10.9% Model-free reality across 275 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 12.8% Adjusts normal bell curve for real-world skewness (-0.56) and kurtosis (1.82).
Standard Normal (Black-Scholes / GBM) 31.4% 15.7% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 16.0% 10.0% Filters for historical windows that started with volatility similar to current 20-day HV (50 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 76.9%
  • Recent 20-Day HV: 41.3%
  • Parkinson Intraday Volatility: 65.9%
  • Vol Trend: Compressed (-46% vs baseline)

1-Day Return Quantiles

  • Median Return: -0.1%
  • Top 10% Move (90th percentile): +5.3%
  • Bottom 10% Move (10th percentile): -6.2%
  • Max Historical Gain (1d): +13.8%
  • Max Historical Loss (1d): -20.4%