Finance

SUND Move Probability $0.21 +0.01 (+3.0%)

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)
41.5%
Stock touched +5.0% ($0.22) at least once during 14 trading days.
Median first touch: Day 5 of 14
Expiration Close Probability
27.5%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.51x
You are 1.5x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±29.2%
$0.15 — $0.27

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 487 historical windows (2024-10-22 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-62.9% to -53.8%: 5 occurrences (1.0%) -58.3% -53.8% to -44.8%: 9 occurrences (1.8%) -44.8% to -35.8%: 4 occurrences (0.8%) -35.8% to -26.8%: 14 occurrences (2.9%) -31.3% -26.8% to -17.8%: 62 occurrences (12.7%) -17.8% to -8.7%: 99 occurrences (20.3%) -8.7% to +0.3%: 129 occurrences (26.5%) -4.2% +0.3% to +9.3%: 64 occurrences (13.1%) +9.3% to +18.3%: 35 occurrences (7.2%) +18.3% to +27.3%: 11 occurrences (2.3%) 22.8% +27.3% to +36.4%: 20 occurrences (4.1%) +36.4% to +45.4%: 19 occurrences (3.9%) +45.4% to +54.4%: 6 occurrences (1.2%) 49.9% +54.4% to +63.4%: 2 occurrences (0.4%) +63.4% to +72.4%: 6 occurrences (1.2%) +72.4% to +81.5%: 2 occurrences (0.4%) 76.9%
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) 41.5% 27.5% Model-free reality across 487 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 37.2% Adjusts normal bell curve for real-world skewness (-6.55) and kurtosis (106.63).
Standard Normal (Black-Scholes / GBM) 86.7% 43.4% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 28.3% 11.5% Filters for historical windows that started with volatility similar to current 20-day HV (113 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 123.8%
  • Recent 20-Day HV: 51.2%
  • Parkinson Intraday Volatility: 122.8%
  • Vol Trend: Compressed (-59% vs baseline)

14-Day Return Quantiles

  • Median Return: -2.5%
  • Top 10% Move (90th percentile): +29.5%
  • Bottom 10% Move (10th percentile): -22.8%
  • Max Historical Gain (14d): +81.5%
  • Max Historical Loss (14d): -62.9%