Finance

SUNS Move Probability $6.25 -0.14 (-2.2%)

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)
37.0%
Stock touched +5.0% ($6.56) at least once during 14 trading days.
Median first touch: Day 6 of 14
Expiration Close Probability
15.2%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.44x
You are 2.4x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±8.6%
$5.71 — $6.79

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%.

-27.0% to -23.1%: 5 occurrences (1.0%) -25.0% -23.1% to -19.3%: 3 occurrences (0.6%) -19.3% to -15.5%: 9 occurrences (1.8%) -15.5% to -11.7%: 27 occurrences (5.3%) -13.6% -11.7% to -7.8%: 27 occurrences (5.3%) -7.8% to -4.0%: 91 occurrences (17.9%) -4.0% to -0.2%: 126 occurrences (24.8%) -2.1% -0.2% to +3.7%: 118 occurrences (23.2%) +3.7% to +7.5%: 59 occurrences (11.6%) +7.5% to +11.3%: 24 occurrences (4.7%) 9.4% +11.3% to +15.1%: 8 occurrences (1.6%) +15.1% to +19.0%: 3 occurrences (0.6%) +19.0% to +22.8%: 4 occurrences (0.8%) 20.9% +22.8% to +26.6%: 1 occurrences (0.2%) +26.6% to +30.5%: 1 occurrences (0.2%) +30.5% to +34.3%: 2 occurrences (0.4%) 32.4%
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) 37.0% 15.2% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 18.5% Adjusts normal bell curve for real-world skewness (-0.43) and kurtosis (6.09).
Standard Normal (Black-Scholes / GBM) 56.9% 28.5% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 47.0% 14.6% Filters for historical windows that started with volatility similar to current 20-day HV (164 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 36.4%
  • Recent 20-Day HV: 50.6%
  • Parkinson Intraday Volatility: 23.5%
  • Vol Trend: Expanded (+39% vs baseline)

14-Day Return Quantiles

  • Median Return: -1.0%
  • Top 10% Move (90th percentile): +6.7%
  • Bottom 10% Move (10th percentile): -10.3%
  • Max Historical Gain (14d): +34.3%
  • Max Historical Loss (14d): -27.0%