Finance

SGRB Move Probability $0.01 -0.04 (-75.7%)

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

← Back to SGRB Options chain →
Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
14.6%
Stock touched +5.0% ($0.01) at least once during 14 trading days.
Median first touch: Day 7 of 14
Expiration Close Probability
13.1%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.11x
You are 1.1x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±50.6%
$0.01 — $0.02

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 487 historical windows (2024-10-22 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-90.0% to -64.9%: 14 occurrences (2.9%) -77.5% -64.9% to -39.8%: 0 occurrences (0.0%) -39.8% to -14.7%: 0 occurrences (0.0%) -14.7% to +10.4%: 423 occurrences (86.9%) -2.2% +10.4% to +35.5%: 16 occurrences (3.3%) +35.5% to +60.6%: 13 occurrences (2.7%) +60.6% to +85.7%: 14 occurrences (2.9%) 73.1% +85.7% to +110.8%: 0 occurrences (0.0%) +110.8% to +135.9%: 0 occurrences (0.0%) +135.9% to +161.0%: 0 occurrences (0.0%) 148.5% +161.0% to +186.1%: 0 occurrences (0.0%) +186.1% to +211.2%: 0 occurrences (0.0%) +211.2% to +236.3%: 5 occurrences (1.0%) 223.8% +236.3% to +261.5%: 0 occurrences (0.0%) +261.5% to +286.6%: 0 occurrences (0.0%) +286.6% to +311.7%: 2 occurrences (0.4%) 299.1%
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) 14.6% 13.1% Model-free reality across 487 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 79.8% Adjusts normal bell curve for real-world skewness (-10.82) and kurtosis (200.97).
Standard Normal (Black-Scholes / GBM) 92.3% 46.2% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 40.0% 40.0% Filters for historical windows that started with volatility similar to current 20-day HV (20 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 214.5%
  • Recent 20-Day HV: 668.9%
  • Parkinson Intraday Volatility: 29.7%
  • Vol Trend: Expanded (+212% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.0%
  • Top 10% Move (90th percentile): +12.0%
  • Bottom 10% Move (10th percentile): +0.0%
  • Max Historical Gain (14d): +311.7%
  • Max Historical Loss (14d): -90.0%