Finance

SUNE Move Probability $2.14 +0.07 (+3.4%)

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)
65.5%
Stock touched +5.0% ($2.25) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
22.5%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.91x
You are 2.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±57.5%
$0.91 — $3.37

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 507 historical windows (2024-09-23 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-95.9% to -66.2%: 27 occurrences (5.3%) -81.0% -66.2% to -36.5%: 31 occurrences (6.1%) -36.5% to -6.8%: 208 occurrences (41.0%) -6.8% to +22.9%: 181 occurrences (35.7%) 8.1% +22.9% to +52.6%: 23 occurrences (4.5%) +52.6% to +82.3%: 9 occurrences (1.8%) +82.3% to +112.0%: 18 occurrences (3.6%) 97.2% +112.0% to +141.7%: 4 occurrences (0.8%) +141.7% to +171.4%: 2 occurrences (0.4%) +171.4% to +201.1%: 3 occurrences (0.6%) 186.3% +201.1% to +230.8%: 0 occurrences (0.0%) +230.8% to +260.5%: 0 occurrences (0.0%) +260.5% to +290.2%: 0 occurrences (0.0%) 275.4% +290.2% to +319.9%: 0 occurrences (0.0%) +319.9% to +349.7%: 0 occurrences (0.0%) +349.7% to +379.4%: 1 occurrences (0.2%) 364.5%
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) 65.5% 22.5% Model-free reality across 507 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 25.5% Adjusts normal bell curve for real-world skewness (0.51) and kurtosis (46.73).
Standard Normal (Black-Scholes / GBM) 93.2% 46.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 54.8% 16.8% Filters for historical windows that started with volatility similar to current 20-day HV (197 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 244.1%
  • Recent 20-Day HV: 73.9%
  • Parkinson Intraday Volatility: 173.8%
  • Vol Trend: Compressed (-70% vs baseline)

14-Day Return Quantiles

  • Median Return: -7.5%
  • Top 10% Move (90th percentile): +35.2%
  • Bottom 10% Move (10th percentile): -39.1%
  • Max Historical Gain (14d): +379.4%
  • Max Historical Loss (14d): -95.9%