Finance

SDGR Move Probability $23.89 +0.50 (+2.1%)

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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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
71.7%
Stock touched +5.0% ($25.08) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
35.2%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.03x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±14.7%
$20.38 — $27.39

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%.

-31.1% to -25.1%: 6 occurrences (1.2%) -28.1% -25.1% to -19.0%: 26 occurrences (5.1%) -19.0% to -13.0%: 38 occurrences (7.5%) -13.0% to -6.9%: 67 occurrences (13.2%) -10.0% -6.9% to -0.9%: 92 occurrences (18.1%) -0.9% to +5.1%: 101 occurrences (19.9%) +5.1% to +11.2%: 65 occurrences (12.8%) 8.2% +11.2% to +17.2%: 45 occurrences (8.9%) +17.2% to +23.3%: 22 occurrences (4.3%) +23.3% to +29.3%: 20 occurrences (3.9%) 26.3% +29.3% to +35.4%: 7 occurrences (1.4%) +35.4% to +41.4%: 6 occurrences (1.2%) +41.4% to +47.5%: 8 occurrences (1.6%) 44.4% +47.5% to +53.5%: 1 occurrences (0.2%) +53.5% to +59.6%: 2 occurrences (0.4%) +59.6% to +65.6%: 2 occurrences (0.4%) 62.6%
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) 71.7% 35.2% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 25.5% Adjusts normal bell curve for real-world skewness (0.81) and kurtosis (5.84).
Standard Normal (Black-Scholes / GBM) 74.0% 37.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 72.8% 39.2% Filters for historical windows that started with volatility similar to current 20-day HV (265 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 62.3%
  • Recent 20-Day HV: 77.3%
  • Parkinson Intraday Volatility: 52.9%
  • Vol Trend: Expanded (+24% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.6%
  • Top 10% Move (90th percentile): +21.1%
  • Bottom 10% Move (10th percentile): -15.9%
  • Max Historical Gain (14d): +65.6%
  • Max Historical Loss (14d): -31.1%