Finance

SNGX Move Probability $0.36 +0.02 (+6.9%)

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 SNGX Options chain →
Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
56.3%
Stock touched +5.0% ($0.38) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
24.6%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.29x
You are 2.3x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±51.5%
$0.18 — $0.55

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%.

-70.3% to +2.1%: 347 occurrences (68.3%) -34.1% +2.1% to +74.5%: 120 occurrences (23.6%) +74.5% to +146.9%: 15 occurrences (3.0%) +146.9% to +219.3%: 9 occurrences (1.8%) 183.1% +219.3% to +291.6%: 6 occurrences (1.2%) +291.6% to +364.0%: 2 occurrences (0.4%) +364.0% to +436.4%: 1 occurrences (0.2%) 400.2% +436.4% to +508.8%: 1 occurrences (0.2%) +508.8% to +581.2%: 2 occurrences (0.4%) +581.2% to +653.5%: 0 occurrences (0.0%) 617.4% +653.5% to +725.9%: 0 occurrences (0.0%) +725.9% to +798.3%: 0 occurrences (0.0%) +798.3% to +870.7%: 1 occurrences (0.2%) 834.5% +870.7% to +943.1%: 0 occurrences (0.0%) +943.1% to +1015.4%: 2 occurrences (0.4%) +1015.4% to +1087.8%: 2 occurrences (0.4%) 1051.6%
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) 56.3% 24.6% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 1.1% Adjusts normal bell curve for real-world skewness (7.81) and kurtosis (143.73).
Standard Normal (Black-Scholes / GBM) 92.4% 46.2% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 49.2% 18.8% Filters for historical windows that started with volatility similar to current 20-day HV (191 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 218.3%
  • Recent 20-Day HV: 43.6%
  • Parkinson Intraday Volatility: 82.6%
  • Vol Trend: Compressed (-80% vs baseline)

14-Day Return Quantiles

  • Median Return: -4.2%
  • Top 10% Move (90th percentile): +25.3%
  • Bottom 10% Move (10th percentile): -22.2%
  • Max Historical Gain (14d): +1087.8%
  • Max Historical Loss (14d): -70.3%