Finance

SGC Move Probability $12.68 -0.58 (-4.4%)

Real historical back-data analysis: evaluates rolling trading-day windows to determine the probability of a stock touching or closing at your target move.

← Back to SGC Options chain →
Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
46.1%
Stock touched +5.0% ($13.31) at least once during 14 trading days.
Median first touch: Day 6 of 14
Expiration Close Probability
21.7%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.13x
You are 2.1x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±10.1%
$11.40 — $13.96

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%.

-26.0% to -22.2%: 5 occurrences (1.0%) -24.1% -22.2% to -18.5%: 7 occurrences (1.4%) -18.5% to -14.7%: 3 occurrences (0.6%) -14.7% to -10.9%: 21 occurrences (4.1%) -12.8% -10.9% to -7.1%: 35 occurrences (6.9%) -7.1% to -3.3%: 75 occurrences (14.8%) -3.3% to +0.4%: 117 occurrences (23.0%) -1.5% +0.4% to +4.2%: 111 occurrences (21.9%) +4.2% to +8.0%: 67 occurrences (13.2%) +8.0% to +11.8%: 30 occurrences (5.9%) 9.9% +11.8% to +15.5%: 24 occurrences (4.7%) +15.5% to +19.3%: 6 occurrences (1.2%) +19.3% to +23.1%: 3 occurrences (0.6%) 21.2% +23.1% to +26.9%: 0 occurrences (0.0%) +26.9% to +30.7%: 1 occurrences (0.2%) +30.7% to +34.4%: 3 occurrences (0.6%) 32.5%
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) 46.1% 21.7% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 15.3% Adjusts normal bell curve for real-world skewness (-0.09) and kurtosis (9.97).
Standard Normal (Black-Scholes / GBM) 62.9% 31.5% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 54.4% 30.3% Filters for historical windows that started with volatility similar to current 20-day HV (294 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 42.9%
  • Recent 20-Day HV: 28.7%
  • Parkinson Intraday Volatility: 21.7%
  • Vol Trend: Compressed (-33% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.2%
  • Top 10% Move (90th percentile): +9.7%
  • Bottom 10% Move (10th percentile): -9.1%
  • Max Historical Gain (14d): +34.4%
  • Max Historical Loss (14d): -26.0%