Finance

SYPR Move Probability $1.79 +0.01 (+0.6%)

Real historical back-data analysis: evaluates rolling trading-day windows to determine the probability of a stock touching or closing at your target move.

← Back to SYPR Options chain →
Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
59.4%
Stock touched +5.0% ($1.88) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
31.3%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.90x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±19.8%
$1.44 — $2.14

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%.

-33.5% to -25.7%: 9 occurrences (1.8%) -29.6% -25.7% to -18.0%: 32 occurrences (6.3%) -18.0% to -10.2%: 67 occurrences (13.2%) -10.2% to -2.5%: 101 occurrences (19.9%) -6.4% -2.5% to +5.3%: 146 occurrences (28.7%) +5.3% to +13.0%: 66 occurrences (13.0%) +13.0% to +20.8%: 43 occurrences (8.5%) 16.9% +20.8% to +28.5%: 18 occurrences (3.5%) +28.5% to +36.3%: 10 occurrences (2.0%) +36.3% to +44.0%: 6 occurrences (1.2%) 40.2% +44.0% to +51.8%: 5 occurrences (1.0%) +51.8% to +59.5%: 0 occurrences (0.0%) +59.5% to +67.3%: 1 occurrences (0.2%) 63.4% +67.3% to +75.1%: 1 occurrences (0.2%) +75.1% to +82.8%: 1 occurrences (0.2%) +82.8% to +90.6%: 2 occurrences (0.4%) 86.7%
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) 59.4% 31.3% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 20.0% Adjusts normal bell curve for real-world skewness (1.89) and kurtosis (13.84).
Standard Normal (Black-Scholes / GBM) 80.5% 40.3% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 60.5% 35.9% Filters for historical windows that started with volatility similar to current 20-day HV (223 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 84.0%
  • Recent 20-Day HV: 54.1%
  • Parkinson Intraday Volatility: 48.3%
  • Vol Trend: Compressed (-36% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.0%
  • Top 10% Move (90th percentile): +19.1%
  • Bottom 10% Move (10th percentile): -16.1%
  • Max Historical Gain (14d): +90.6%
  • Max Historical Loss (14d): -33.5%