Finance

SG Move Probability $9.82 -0.40 (-3.9%)

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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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
58.7%
Stock touched +5.0% ($10.31) at least once during 5 trading days.
Median first touch: Day 2 of 5
Expiration Close Probability
25.3%
Stock closed at or beyond +5.0% at the end of the 5-day window.
The Touch Multiple
2.32x
You are 2.3x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±10.5%
$8.79 — $10.85

Historical 5-Day Return Distribution

Frequency of rolling 5-day percentage returns over 518 historical windows (2024-09-24 to 2026-10-23). The colored bar indicates the win zone for +5.0%.

-27.7% to -23.7%: 5 occurrences (1.0%) -25.7% -23.7% to -19.6%: 11 occurrences (2.1%) -19.6% to -15.6%: 19 occurrences (3.7%) -15.6% to -11.5%: 28 occurrences (5.4%) -13.6% -11.5% to -7.5%: 53 occurrences (10.2%) -7.5% to -3.4%: 80 occurrences (15.4%) -3.4% to +0.6%: 104 occurrences (20.1%) -1.4% +0.6% to +4.6%: 82 occurrences (15.8%) +4.6% to +8.7%: 48 occurrences (9.3%) +8.7% to +12.7%: 43 occurrences (8.3%) 10.7% +12.7% to +16.8%: 24 occurrences (4.6%) +16.8% to +20.8%: 7 occurrences (1.4%) +20.8% to +24.9%: 8 occurrences (1.5%) 22.8% +24.9% to +28.9%: 1 occurrences (0.2%) +28.9% to +32.9%: 4 occurrences (0.8%) +32.9% to +37.0%: 1 occurrences (0.2%) 35.0%
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) 58.7% 25.3% Model-free reality across 518 historical 5-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 30.1% Adjusts normal bell curve for real-world skewness (-0.42) and kurtosis (2.23).
Standard Normal (Black-Scholes / GBM) 64.1% 32.1% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 62.9% 35.4% Filters for historical windows that started with volatility similar to current 20-day HV (178 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 74.4%
  • Recent 20-Day HV: 49.7%
  • Parkinson Intraday Volatility: 63.3%
  • Vol Trend: Compressed (-33% vs baseline)

5-Day Return Quantiles

  • Median Return: -1.0%
  • Top 10% Move (90th percentile): +11.9%
  • Bottom 10% Move (10th percentile): -13.0%
  • Max Historical Gain (5d): +37.0%
  • Max Historical Loss (5d): -27.7%