Finance

SVV Move Probability $9.88 -0.13 (-1.3%)

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)
64.2%
Stock touched +5.0% ($10.37) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
38.2%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.68x
You are 1.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±13.8%
$8.51 — $11.25

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%.

-43.5% to -38.5%: 6 occurrences (1.2%) -41.0% -38.5% to -33.5%: 14 occurrences (2.8%) -33.5% to -28.5%: 4 occurrences (0.8%) -28.5% to -23.6%: 5 occurrences (1.0%) -26.1% -23.6% to -18.6%: 10 occurrences (2.0%) -18.6% to -13.6%: 26 occurrences (5.1%) -13.6% to -8.6%: 32 occurrences (6.3%) -11.1% -8.6% to -3.7%: 48 occurrences (9.4%) -3.7% to +1.3%: 99 occurrences (19.5%) +1.3% to +6.3%: 93 occurrences (18.3%) 3.8% +6.3% to +11.3%: 86 occurrences (16.9%) +11.3% to +16.2%: 32 occurrences (6.3%) +16.2% to +21.2%: 20 occurrences (3.9%) 18.7% +21.2% to +26.2%: 19 occurrences (3.7%) +26.2% to +31.2%: 9 occurrences (1.8%) +31.2% to +36.1%: 5 occurrences (1.0%) 33.6%
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) 64.2% 38.2% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 23.2% Adjusts normal bell curve for real-world skewness (-1.99) and kurtosis (20.23).
Standard Normal (Black-Scholes / GBM) 72.4% 36.2% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 71.9% 45.0% Filters for historical windows that started with volatility similar to current 20-day HV (160 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 58.7%
  • Recent 20-Day HV: 32.4%
  • Parkinson Intraday Volatility: 43.7%
  • Vol Trend: Compressed (-45% vs baseline)

14-Day Return Quantiles

  • Median Return: +1.7%
  • Top 10% Move (90th percentile): +16.6%
  • Bottom 10% Move (10th percentile): -15.7%
  • Max Historical Gain (14d): +36.1%
  • Max Historical Loss (14d): -43.5%