Finance

SABS Move Probability $2.83 -0.04 (-1.4%)

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)
72.0%
Stock touched +5.0% ($2.97) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
36.4%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.98x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±30.7%
$1.96 — $3.70

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%.

-32.0% to -5.2%: 185 occurrences (36.4%) -18.6% -5.2% to +21.7%: 232 occurrences (45.7%) +21.7% to +48.5%: 56 occurrences (11.0%) +48.5% to +75.4%: 21 occurrences (4.1%) 61.9% +75.4% to +102.2%: 0 occurrences (0.0%) +102.2% to +129.0%: 0 occurrences (0.0%) +129.0% to +155.9%: 0 occurrences (0.0%) 142.4% +155.9% to +182.7%: 0 occurrences (0.0%) +182.7% to +209.5%: 0 occurrences (0.0%) +209.5% to +236.4%: 0 occurrences (0.0%) 222.9% +236.4% to +263.2%: 0 occurrences (0.0%) +263.2% to +290.0%: 3 occurrences (0.6%) +290.0% to +316.9%: 0 occurrences (0.0%) 303.4% +316.9% to +343.7%: 3 occurrences (0.6%) +343.7% to +370.5%: 1 occurrences (0.2%) +370.5% to +397.4%: 7 occurrences (1.4%) 383.9%
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) 72.0% 36.4% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 0.3% Adjusts normal bell curve for real-world skewness (9.45) and kurtosis (152.99).
Standard Normal (Black-Scholes / GBM) 87.4% 43.7% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 74.6% 30.1% Filters for historical windows that started with volatility similar to current 20-day HV (209 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 130.4%
  • Recent 20-Day HV: 65.7%
  • Parkinson Intraday Volatility: 70.6%
  • Vol Trend: Compressed (-50% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.0%
  • Top 10% Move (90th percentile): +39.0%
  • Bottom 10% Move (10th percentile): -15.7%
  • Max Historical Gain (14d): +397.4%
  • Max Historical Loss (14d): -32.0%