Finance

SWAG Move Probability $1.29 +0.03 (+2.4%)

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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Touch Probability (First Passage)
57.0%
Stock touched +5.0% ($1.35) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
33.3%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.71x
You are 1.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±15.2%
$1.09 — $1.49

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 507 historical windows (2024-09-23 to 2026-10-20). The colored bar indicates the win zone for +5.0%.

-44.1% to -35.6%: 3 occurrences (0.6%) -39.8% -35.6% to -27.2%: 0 occurrences (0.0%) -27.2% to -18.8%: 15 occurrences (3.0%) -18.8% to -10.4%: 72 occurrences (14.2%) -14.6% -10.4% to -2.0%: 154 occurrences (30.4%) -2.0% to +6.5%: 110 occurrences (21.7%) +6.5% to +14.9%: 76 occurrences (15.0%) 10.7% +14.9% to +23.3%: 38 occurrences (7.5%) +23.3% to +31.7%: 26 occurrences (5.1%) +31.7% to +40.2%: 7 occurrences (1.4%) 35.9% +40.2% to +48.6%: 1 occurrences (0.2%) +48.6% to +57.0%: 1 occurrences (0.2%) +57.0% to +65.4%: 1 occurrences (0.2%) 61.2% +65.4% to +73.8%: 0 occurrences (0.0%) +73.8% to +82.3%: 1 occurrences (0.2%) +82.3% to +90.7%: 2 occurrences (0.4%) 86.5%
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) 57.0% 33.3% Model-free reality across 507 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 12.1% Adjusts normal bell curve for real-world skewness (1.26) and kurtosis (18.7).
Standard Normal (Black-Scholes / GBM) 74.7% 37.4% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 54.6% 32.5% Filters for historical windows that started with volatility similar to current 20-day HV (240 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 64.3%
  • Recent 20-Day HV: 42.9%
  • Parkinson Intraday Volatility: 37.4%
  • Vol Trend: Compressed (-33% vs baseline)

14-Day Return Quantiles

  • Median Return: -1.4%
  • Top 10% Move (90th percentile): +19.8%
  • Bottom 10% Move (10th percentile): -13.7%
  • Max Historical Gain (14d): +90.7%
  • Max Historical Loss (14d): -44.1%