Finance

STWD Move Probability $12.59 +0.46 (+3.8%)

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)
12.8%
Stock touched +5.0% ($13.21) at least once during 14 trading days.
Median first touch: Day 9 of 14
Expiration Close Probability
6.7%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.91x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±4.6%
$12.01 — $13.16

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 509 historical windows (2024-09-23 to 2026-10-22). The colored bar indicates the win zone for +5.0%.

-14.2% to -12.6%: 4 occurrences (0.8%) -13.4% -12.6% to -11.0%: 6 occurrences (1.2%) -11.0% to -9.4%: 11 occurrences (2.2%) -9.4% to -7.8%: 4 occurrences (0.8%) -8.6% -7.8% to -6.2%: 12 occurrences (2.4%) -6.2% to -4.7%: 33 occurrences (6.5%) -4.7% to -3.1%: 51 occurrences (10.0%) -3.9% -3.1% to -1.5%: 72 occurrences (14.1%) -1.5% to +0.1%: 84 occurrences (16.5%) +0.1% to +1.7%: 85 occurrences (16.7%) 0.9% +1.7% to +3.3%: 76 occurrences (14.9%) +3.3% to +4.9%: 37 occurrences (7.3%) +4.9% to +6.4%: 20 occurrences (3.9%) 5.7% +6.4% to +8.0%: 8 occurrences (1.6%) +8.0% to +9.6%: 5 occurrences (1.0%) +9.6% to +11.2%: 1 occurrences (0.2%) 10.4%
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) 12.8% 6.7% Model-free reality across 509 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 7.8% Adjusts normal bell curve for real-world skewness (-0.14) and kurtosis (4.3).
Standard Normal (Black-Scholes / GBM) 28.9% 14.4% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 14.0% 9.3% Filters for historical windows that started with volatility similar to current 20-day HV (215 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 19.5%
  • Recent 20-Day HV: 26.7%
  • Parkinson Intraday Volatility: 16.9%
  • Vol Trend: Expanded (+37% vs baseline)

14-Day Return Quantiles

  • Median Return: -0.3%
  • Top 10% Move (90th percentile): +4.0%
  • Bottom 10% Move (10th percentile): -5.6%
  • Max Historical Gain (14d): +11.2%
  • Max Historical Loss (14d): -14.2%