Finance

SG Move Probability $10.22 +0.05 (+0.5%)

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)
71.1%
Stock touched +5.0% ($10.73) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
30.1%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.37x
You are 2.4x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±17.5%
$8.43 — $12.01

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 509 historical windows (2024-09-23 to 2026-10-22). The colored bar indicates the win zone for +5.0%.

-40.8% to -35.3%: 4 occurrences (0.8%) -38.1% -35.3% to -29.7%: 20 occurrences (3.9%) -29.7% to -24.2%: 22 occurrences (4.3%) -24.2% to -18.6%: 31 occurrences (6.1%) -21.4% -18.6% to -13.1%: 40 occurrences (7.9%) -13.1% to -7.5%: 74 occurrences (14.5%) -7.5% to -1.9%: 80 occurrences (15.7%) -4.7% -1.9% to +3.6%: 75 occurrences (14.7%) +3.6% to +9.2%: 54 occurrences (10.6%) +9.2% to +14.7%: 35 occurrences (6.9%) 11.9% +14.7% to +20.3%: 28 occurrences (5.5%) +20.3% to +25.8%: 16 occurrences (3.1%) +25.8% to +31.4%: 16 occurrences (3.1%) 28.6% +31.4% to +37.0%: 6 occurrences (1.2%) +37.0% to +42.5%: 3 occurrences (0.6%) +42.5% to +48.1%: 5 occurrences (1.0%) 45.3%
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) 71.1% 30.1% Model-free reality across 509 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 38.9% Adjusts normal bell curve for real-world skewness (-0.43) and kurtosis (2.24).
Standard Normal (Black-Scholes / GBM) 78.1% 39.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 72.0% 32.6% Filters for historical windows that started with volatility similar to current 20-day HV (132 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 74.3%
  • Recent 20-Day HV: 46.5%
  • Parkinson Intraday Volatility: 63.3%
  • Vol Trend: Compressed (-37% vs baseline)

14-Day Return Quantiles

  • Median Return: -3.3%
  • Top 10% Move (90th percentile): +19.0%
  • Bottom 10% Move (10th percentile): -22.6%
  • Max Historical Gain (14d): +48.1%
  • Max Historical Loss (14d): -40.8%