Finance

SGHC Move Probability $11.12 -0.06 (-0.6%)

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)
65.2%
Stock touched +5.0% ($11.67) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
43.7%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.49x
You are 1.5x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±10.9%
$9.90 — $12.33

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%.

-19.8% to -15.5%: 27 occurrences (5.3%) -17.7% -15.5% to -11.1%: 23 occurrences (4.5%) -11.1% to -6.8%: 55 occurrences (10.8%) -6.8% to -2.4%: 69 occurrences (13.6%) -4.6% -2.4% to +2.0%: 65 occurrences (12.8%) +2.0% to +6.3%: 74 occurrences (14.6%) +6.3% to +10.7%: 62 occurrences (12.2%) 8.5% +10.7% to +15.0%: 41 occurrences (8.1%) +15.0% to +19.4%: 31 occurrences (6.1%) +19.4% to +23.8%: 17 occurrences (3.3%) 21.6% +23.8% to +28.1%: 16 occurrences (3.1%) +28.1% to +32.5%: 10 occurrences (2.0%) +32.5% to +36.8%: 4 occurrences (0.8%) 34.7% +36.8% to +41.2%: 3 occurrences (0.6%) +41.2% to +45.6%: 6 occurrences (1.2%) +45.6% to +49.9%: 5 occurrences (1.0%) 47.8%
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) 65.2% 43.7% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 23.5% Adjusts normal bell curve for real-world skewness (0.71) and kurtosis (4.03).
Standard Normal (Black-Scholes / GBM) 65.5% 32.8% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 43.5% 43.5% Filters for historical windows that started with volatility similar to current 20-day HV (23 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 46.4%
  • Recent 20-Day HV: 20.2%
  • Parkinson Intraday Volatility: 39.9%
  • Vol Trend: Compressed (-56% vs baseline)

14-Day Return Quantiles

  • Median Return: +3.1%
  • Top 10% Move (90th percentile): +20.9%
  • Bottom 10% Move (10th percentile): -11.1%
  • Max Historical Gain (14d): +49.9%
  • Max Historical Loss (14d): -19.8%