Finance

SEG Move Probability $22.47 -0.08 (-0.4%)

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)
49.4%
Stock touched +5.0% ($23.59) at least once during 14 trading days.
Median first touch: Day 5 of 14
Expiration Close Probability
24.4%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.02x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±9.7%
$20.28 — $24.66

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%.

-22.6% to -19.3%: 2 occurrences (0.4%) -21.0% -19.3% to -16.1%: 2 occurrences (0.4%) -16.1% to -12.8%: 18 occurrences (3.5%) -12.8% to -9.6%: 48 occurrences (9.4%) -11.2% -9.6% to -6.3%: 56 occurrences (11.0%) -6.3% to -3.1%: 65 occurrences (12.8%) -3.1% to +0.2%: 84 occurrences (16.5%) -1.4% +0.2% to +3.5%: 77 occurrences (15.2%) +3.5% to +6.7%: 59 occurrences (11.6%) +6.7% to +10.0%: 37 occurrences (7.3%) 8.3% +10.0% to +13.2%: 26 occurrences (5.1%) +13.2% to +16.5%: 16 occurrences (3.1%) +16.5% to +19.7%: 14 occurrences (2.8%) 18.1% +19.7% to +23.0%: 3 occurrences (0.6%) +23.0% to +26.2%: 0 occurrences (0.0%) +26.2% to +29.5%: 1 occurrences (0.2%) 27.9%
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) 49.4% 24.4% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 24.2% Adjusts normal bell curve for real-world skewness (0.39) and kurtosis (2.79).
Standard Normal (Black-Scholes / GBM) 61.6% 30.8% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 42.2% 21.6% Filters for historical windows that started with volatility similar to current 20-day HV (204 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 41.3%
  • Recent 20-Day HV: 24.7%
  • Parkinson Intraday Volatility: 27.7%
  • Vol Trend: Compressed (-40% vs baseline)

14-Day Return Quantiles

  • Median Return: -0.5%
  • Top 10% Move (90th percentile): +10.9%
  • Bottom 10% Move (10th percentile): -10.9%
  • Max Historical Gain (14d): +29.5%
  • Max Historical Loss (14d): -22.6%