Finance

SION Move Probability $3.87 -0.27 (-6.5%)

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)
77.8%
Stock touched +5.0% ($4.06) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
45.4%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.71x
You are 1.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±48.5%
$1.99 — $5.75

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 414 historical windows (2025-02-07 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-90.4% to -80.3%: 14 occurrences (3.4%) -85.3% -80.3% to -70.2%: 0 occurrences (0.0%) -70.2% to -60.0%: 0 occurrences (0.0%) -60.0% to -49.9%: 0 occurrences (0.0%) -55.0% -49.9% to -39.8%: 4 occurrences (1.0%) -39.8% to -29.7%: 16 occurrences (3.9%) -29.7% to -19.6%: 23 occurrences (5.6%) -24.6% -19.6% to -9.4%: 48 occurrences (11.6%) -9.4% to +0.7%: 76 occurrences (18.4%) +0.7% to +10.8%: 109 occurrences (26.3%) 5.7% +10.8% to +20.9%: 52 occurrences (12.6%) +20.9% to +31.0%: 41 occurrences (9.9%) +31.0% to +41.2%: 17 occurrences (4.1%) 36.1% +41.2% to +51.3%: 12 occurrences (2.9%) +51.3% to +61.4%: 0 occurrences (0.0%) +61.4% to +71.5%: 2 occurrences (0.5%) 66.5%
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) 77.8% 45.4% Model-free reality across 414 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 98.2% Adjusts normal bell curve for real-world skewness (-15.2) and kurtosis (281.48).
Standard Normal (Black-Scholes / GBM) 92.0% 46.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 78.4% 45.0% Filters for historical windows that started with volatility similar to current 20-day HV (111 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 205.8%
  • Recent 20-Day HV: 51.4%
  • Parkinson Intraday Volatility: 71.3%
  • Vol Trend: Compressed (-75% vs baseline)

14-Day Return Quantiles

  • Median Return: +2.6%
  • Top 10% Move (90th percentile): +28.5%
  • Bottom 10% Move (10th percentile): -23.7%
  • Max Historical Gain (14d): +71.5%
  • Max Historical Loss (14d): -90.4%