Finance

SGHT Move Probability $8.70 +0.07 (+0.8%)

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)
63.4%
Stock touched +5.0% ($9.13) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
35.8%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.77x
You are 1.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±18.0%
$7.13 — $10.27

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%.

-38.1% to -31.0%: 5 occurrences (1.0%) -34.6% -31.0% to -23.9%: 19 occurrences (3.7%) -23.9% to -16.8%: 39 occurrences (7.7%) -16.8% to -9.7%: 79 occurrences (15.6%) -13.2% -9.7% to -2.5%: 107 occurrences (21.1%) -2.5% to +4.6%: 74 occurrences (14.6%) +4.6% to +11.7%: 46 occurrences (9.1%) 8.1% +11.7% to +18.8%: 44 occurrences (8.7%) +18.8% to +25.9%: 34 occurrences (6.7%) +25.9% to +33.1%: 15 occurrences (3.0%) 29.5% +33.1% to +40.2%: 10 occurrences (2.0%) +40.2% to +47.3%: 8 occurrences (1.6%) +47.3% to +54.4%: 14 occurrences (2.8%) 50.9% +54.4% to +61.5%: 11 occurrences (2.2%) +61.5% to +68.7%: 2 occurrences (0.4%) +68.7% to +75.8%: 1 occurrences (0.2%) 72.2%
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) 63.4% 35.8% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 27.1% Adjusts normal bell curve for real-world skewness (0.42) and kurtosis (8.45).
Standard Normal (Black-Scholes / GBM) 78.7% 39.3% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 59.7% 35.2% Filters for historical windows that started with volatility similar to current 20-day HV (293 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 76.4%
  • Recent 20-Day HV: 60.2%
  • Parkinson Intraday Volatility: 54.2%
  • Vol Trend: Compressed (-21% vs baseline)

14-Day Return Quantiles

  • Median Return: -2.0%
  • Top 10% Move (90th percentile): +29.2%
  • Bottom 10% Move (10th percentile): -18.5%
  • Max Historical Gain (14d): +75.8%
  • Max Historical Loss (14d): -38.1%