Finance

SBET Move Probability $8.33 +0.47 (+6.0%)

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)
30.9%
Stock touched +5.0% ($8.75) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
17.7%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
1.75x
You are 1.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±13.1%
$7.24 — $9.42

Historical 1-Day Return Distribution

Frequency of rolling 1-day percentage returns over 521 historical windows (2024-09-23 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-71.8% to -41.0%: 1 occurrences (0.2%) -56.4% -41.0% to -10.2%: 27 occurrences (5.2%) -10.2% to +20.6%: 478 occurrences (91.7%) +20.6% to +51.4%: 11 occurrences (2.1%) 36.0% +51.4% to +82.2%: 0 occurrences (0.0%) +82.2% to +113.0%: 2 occurrences (0.4%) +113.0% to +143.8%: 0 occurrences (0.0%) 128.4% +143.8% to +174.6%: 1 occurrences (0.2%) +174.6% to +205.4%: 0 occurrences (0.0%) +205.4% to +236.2%: 0 occurrences (0.0%) 220.8% +236.2% to +267.0%: 0 occurrences (0.0%) +267.0% to +297.8%: 0 occurrences (0.0%) +297.8% to +328.6%: 0 occurrences (0.0%) 313.2% +328.6% to +359.4%: 0 occurrences (0.0%) +359.4% to +390.2%: 0 occurrences (0.0%) +390.2% to +420.9%: 1 occurrences (0.2%) 405.6%
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) 30.9% 17.7% Model-free reality across 521 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 0.0% Adjusts normal bell curve for real-world skewness (3.29) and kurtosis (69.64).
Standard Normal (Black-Scholes / GBM) 71.0% 35.5% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 25.8% 14.5% 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: 208.6%
  • Recent 20-Day HV: 57.5%
  • Parkinson Intraday Volatility: 118.2%
  • Vol Trend: Compressed (-72% vs baseline)

1-Day Return Quantiles

  • Median Return: -0.1%
  • Top 10% Move (90th percentile): +7.3%
  • Bottom 10% Move (10th percentile): -8.2%
  • Max Historical Gain (1d): +420.9%
  • Max Historical Loss (1d): -71.8%