Finance

SACH Move Probability $0.81 -0.02 (-2.9%)

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)
46.7%
Stock touched +5.0% ($0.85) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
22.9%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.04x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±12.7%
$0.71 — $0.91

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%.

-36.6% to -31.8%: 1 occurrences (0.2%) -34.2% -31.8% to -26.9%: 7 occurrences (1.4%) -26.9% to -22.1%: 10 occurrences (2.0%) -22.1% to -17.3%: 17 occurrences (3.4%) -19.7% -17.3% to -12.4%: 31 occurrences (6.1%) -12.4% to -7.6%: 66 occurrences (13.0%) -7.6% to -2.7%: 108 occurrences (21.3%) -5.1% -2.7% to +2.1%: 117 occurrences (23.1%) +2.1% to +7.0%: 50 occurrences (9.9%) +7.0% to +11.8%: 47 occurrences (9.3%) 9.4% +11.8% to +16.7%: 19 occurrences (3.7%) +16.7% to +21.5%: 25 occurrences (4.9%) +21.5% to +26.3%: 2 occurrences (0.4%) 23.9% +26.3% to +31.2%: 3 occurrences (0.6%) +31.2% to +36.0%: 3 occurrences (0.6%) +36.0% to +40.9%: 1 occurrences (0.2%) 38.5%
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) 46.7% 22.9% Model-free reality across 507 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 14.2% Adjusts normal bell curve for real-world skewness (1.08) and kurtosis (12.98).
Standard Normal (Black-Scholes / GBM) 70.1% 35.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 49.5% 28.0% Filters for historical windows that started with volatility similar to current 20-day HV (186 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 53.9%
  • Recent 20-Day HV: 30.5%
  • Parkinson Intraday Volatility: 34.0%
  • Vol Trend: Compressed (-43% vs baseline)

14-Day Return Quantiles

  • Median Return: -1.9%
  • Top 10% Move (90th percentile): +12.1%
  • Bottom 10% Move (10th percentile): -14.2%
  • Max Historical Gain (14d): +40.9%
  • Max Historical Loss (14d): -36.6%