Finance

SVRA Move Probability $4.67 -0.10 (-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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Touch Probability (First Passage)
67.1%
Stock touched +5.0% ($4.90) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
33.1%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.03x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±14.8%
$3.97 — $5.36

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%.

-35.0% to -29.1%: 3 occurrences (0.6%) -32.1% -29.1% to -23.2%: 3 occurrences (0.6%) -23.2% to -17.3%: 14 occurrences (2.8%) -17.3% to -11.5%: 42 occurrences (8.3%) -14.4% -11.5% to -5.6%: 110 occurrences (21.7%) -5.6% to +0.3%: 115 occurrences (22.6%) +0.3% to +6.2%: 72 occurrences (14.2%) 3.3% +6.2% to +12.1%: 45 occurrences (8.9%) +12.1% to +18.0%: 50 occurrences (9.8%) +18.0% to +23.9%: 23 occurrences (4.5%) 20.9% +23.9% to +29.8%: 19 occurrences (3.7%) +29.8% to +35.6%: 2 occurrences (0.4%) +35.6% to +41.5%: 1 occurrences (0.2%) 38.6% +41.5% to +47.4%: 2 occurrences (0.4%) +47.4% to +53.3%: 4 occurrences (0.8%) +53.3% to +59.2%: 3 occurrences (0.6%) 56.2%
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) 67.1% 33.1% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 26.4% Adjusts normal bell curve for real-world skewness (-1.51) and kurtosis (15.8).
Standard Normal (Black-Scholes / GBM) 74.2% 37.1% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 66.3% 30.2% Filters for historical windows that started with volatility similar to current 20-day HV (291 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 63.0%
  • Recent 20-Day HV: 44.1%
  • Parkinson Intraday Volatility: 53.9%
  • Vol Trend: Compressed (-30% vs baseline)

14-Day Return Quantiles

  • Median Return: -1.7%
  • Top 10% Move (90th percentile): +18.4%
  • Bottom 10% Move (10th percentile): -12.6%
  • Max Historical Gain (14d): +59.2%
  • Max Historical Loss (14d): -35.0%