Finance

SGI Move Probability $62.88 -1.07 (-1.7%)

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)
53.9%
Stock touched +5.0% ($66.03) at least once during 14 trading days.
Median first touch: Day 5 of 14
Expiration Close Probability
29.9%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.80x
You are 1.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±8.6%
$57.49 — $68.28

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%.

-21.3% to -18.6%: 5 occurrences (1.0%) -20.0% -18.6% to -15.9%: 11 occurrences (2.2%) -15.9% to -13.2%: 6 occurrences (1.2%) -13.2% to -10.5%: 19 occurrences (3.7%) -11.9% -10.5% to -7.8%: 29 occurrences (5.7%) -7.8% to -5.1%: 40 occurrences (7.9%) -5.1% to -2.4%: 43 occurrences (8.5%) -3.8% -2.4% to +0.3%: 79 occurrences (15.6%) +0.3% to +3.0%: 72 occurrences (14.2%) +3.0% to +5.7%: 68 occurrences (13.4%) 4.3% +5.7% to +8.4%: 46 occurrences (9.1%) +8.4% to +11.1%: 48 occurrences (9.4%) +11.1% to +13.7%: 20 occurrences (3.9%) 12.4% +13.7% to +16.4%: 17 occurrences (3.3%) +16.4% to +19.1%: 2 occurrences (0.4%) +19.1% to +21.8%: 3 occurrences (0.6%) 20.5%
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) 53.9% 29.9% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 21.3% Adjusts normal bell curve for real-world skewness (0.38) and kurtosis (3.09).
Standard Normal (Black-Scholes / GBM) 56.9% 28.5% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 54.4% 36.7% Filters for historical windows that started with volatility similar to current 20-day HV (248 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 36.4%
  • Recent 20-Day HV: 26.4%
  • Parkinson Intraday Volatility: 28.5%
  • Vol Trend: Compressed (-27% vs baseline)

14-Day Return Quantiles

  • Median Return: +1.2%
  • Top 10% Move (90th percentile): +10.2%
  • Bottom 10% Move (10th percentile): -9.6%
  • Max Historical Gain (14d): +21.8%
  • Max Historical Loss (14d): -21.3%