Finance

SGML Move Probability $5.26 -1.74 (-24.8%)

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)
75.6%
Stock touched +5.0% ($5.52) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
31.9%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.37x
You are 2.4x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±23.2%
$4.04 — $6.48

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 508 historical windows (2024-10-03 to 2026-11-02). The colored bar indicates the win zone for +5.0%.

-40.0% to -30.4%: 25 occurrences (4.9%) -35.2% -30.4% to -20.8%: 42 occurrences (8.3%) -20.8% to -11.2%: 90 occurrences (17.7%) -11.2% to -1.6%: 119 occurrences (23.4%) -6.4% -1.6% to +8.0%: 97 occurrences (19.1%) +8.0% to +17.6%: 52 occurrences (10.2%) +17.6% to +27.2%: 23 occurrences (4.5%) 22.4% +27.2% to +36.8%: 17 occurrences (3.3%) +36.8% to +46.3%: 15 occurrences (3.0%) +46.3% to +55.9%: 5 occurrences (1.0%) 51.1% +55.9% to +65.5%: 7 occurrences (1.4%) +65.5% to +75.1%: 5 occurrences (1.0%) +75.1% to +84.7%: 4 occurrences (0.8%) 79.9% +84.7% to +94.3%: 3 occurrences (0.6%) +94.3% to +103.9%: 0 occurrences (0.0%) +103.9% to +113.5%: 4 occurrences (0.8%) 108.7%
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) 75.6% 31.9% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 36.3% Adjusts normal bell curve for real-world skewness (0.41) and kurtosis (3.05).
Standard Normal (Black-Scholes / GBM) 83.3% 41.7% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 78.4% 30.1% Filters for historical windows that started with volatility similar to current 20-day HV (292 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 98.3%
  • Recent 20-Day HV: 117.0%
  • Parkinson Intraday Volatility: 76.5%
  • Vol Trend: Expanded (+19% vs baseline)

14-Day Return Quantiles

  • Median Return: -3.6%
  • Top 10% Move (90th percentile): +30.1%
  • Bottom 10% Move (10th percentile): -22.8%
  • Max Historical Gain (14d): +113.5%
  • Max Historical Loss (14d): -40.0%