Finance

SGRY Move Probability $15.40 -0.12 (-0.7%)

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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Touch Probability (First Passage)
46.3%
Stock touched +5.0% ($16.18) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
21.7%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.14x
You are 2.1x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±11.7%
$13.61 — $17.20

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%.

-34.4% to -30.4%: 4 occurrences (0.8%) -32.4% -30.4% to -26.4%: 5 occurrences (1.0%) -26.4% to -22.4%: 9 occurrences (1.8%) -22.4% to -18.4%: 15 occurrences (3.0%) -20.4% -18.4% to -14.4%: 15 occurrences (3.0%) -14.4% to -10.4%: 31 occurrences (6.1%) -10.4% to -6.4%: 57 occurrences (11.2%) -8.4% -6.4% to -2.4%: 96 occurrences (18.9%) -2.4% to +1.5%: 112 occurrences (22.0%) +1.5% to +5.5%: 58 occurrences (11.4%) 3.5% +5.5% to +9.5%: 37 occurrences (7.3%) +9.5% to +13.5%: 34 occurrences (6.7%) +13.5% to +17.5%: 12 occurrences (2.4%) 15.5% +17.5% to +21.5%: 8 occurrences (1.6%) +21.5% to +25.5%: 9 occurrences (1.8%) +25.5% to +29.5%: 6 occurrences (1.2%) 27.5%
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) 46.3% 21.7% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 15.0% Adjusts normal bell curve for real-world skewness (-1.43) and kurtosis (18.85).
Standard Normal (Black-Scholes / GBM) 67.6% 33.8% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 56.0% 27.8% Filters for historical windows that started with volatility similar to current 20-day HV (284 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 49.5%
  • Recent 20-Day HV: 38.1%
  • Parkinson Intraday Volatility: 37.0%
  • Vol Trend: Compressed (-23% vs baseline)

14-Day Return Quantiles

  • Median Return: -1.7%
  • Top 10% Move (90th percentile): +11.9%
  • Bottom 10% Move (10th percentile): -13.8%
  • Max Historical Gain (14d): +29.5%
  • Max Historical Loss (14d): -34.4%