Finance

SIGA Move Probability $3.13 -0.02 (-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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Touch Probability (First Passage)
59.4%
Stock touched +5.0% ($3.29) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
25.0%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.38x
You are 2.4x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±11.7%
$2.76 — $3.50

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%.

-30.4% to -26.1%: 11 occurrences (2.2%) -28.2% -26.1% to -21.8%: 8 occurrences (1.6%) -21.8% to -17.5%: 16 occurrences (3.1%) -17.5% to -13.2%: 20 occurrences (3.9%) -15.3% -13.2% to -8.9%: 29 occurrences (5.7%) -8.9% to -4.6%: 70 occurrences (13.8%) -4.6% to -0.3%: 94 occurrences (18.5%) -2.5% -0.3% to +4.0%: 106 occurrences (20.9%) +4.0% to +8.3%: 98 occurrences (19.3%) +8.3% to +12.6%: 27 occurrences (5.3%) 10.4% +12.6% to +16.9%: 12 occurrences (2.4%) +16.9% to +21.1%: 5 occurrences (1.0%) +21.1% to +25.4%: 2 occurrences (0.4%) 23.3% +25.4% to +29.7%: 2 occurrences (0.4%) +29.7% to +34.0%: 5 occurrences (1.0%) +34.0% to +38.3%: 3 occurrences (0.6%) 36.2%
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) 59.4% 25.0% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 25.4% Adjusts normal bell curve for real-world skewness (-0.68) and kurtosis (7.5).
Standard Normal (Black-Scholes / GBM) 67.8% 33.9% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 59.5% 24.9% Filters for historical windows that started with volatility similar to current 20-day HV (385 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 49.8%
  • Recent 20-Day HV: 41.4%
  • Parkinson Intraday Volatility: 40.3%
  • Vol Trend: Compressed (-17% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.0%
  • Top 10% Move (90th percentile): +8.8%
  • Bottom 10% Move (10th percentile): -14.7%
  • Max Historical Gain (14d): +38.3%
  • Max Historical Loss (14d): -30.4%