Finance

SAN Move Probability $13.59 +0.08 (+0.6%)

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 SAN Options chain →
Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
15.0%
Stock touched +5.0% ($14.26) at least once during 3 trading days.
Median first touch: Day 2 of 3
Expiration Close Probability
8.7%
Stock closed at or beyond +5.0% at the end of the 3-day window.
The Touch Multiple
1.73x
You are 1.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±3.6%
$13.09 — $14.08

Historical 3-Day Return Distribution

Frequency of rolling 3-day percentage returns over 519 historical windows (2024-09-13 to 2026-10-13). The colored bar indicates the win zone for +5.0%.

-16.8% to -14.7%: 2 occurrences (0.4%) -15.8% -14.7% to -12.7%: 1 occurrences (0.2%) -12.7% to -10.6%: 1 occurrences (0.2%) -10.6% to -8.5%: 1 occurrences (0.2%) -9.5% -8.5% to -6.4%: 8 occurrences (1.5%) -6.4% to -4.3%: 19 occurrences (3.7%) -4.3% to -2.2%: 56 occurrences (10.8%) -3.3% -2.2% to -0.1%: 110 occurrences (21.2%) -0.1% to +2.0%: 144 occurrences (27.7%) +2.0% to +4.0%: 113 occurrences (21.8%) 3.0% +4.0% to +6.1%: 42 occurrences (8.1%) +6.1% to +8.2%: 13 occurrences (2.5%) +8.2% to +10.3%: 4 occurrences (0.8%) 9.3% +10.3% to +12.4%: 4 occurrences (0.8%) +12.4% to +14.5%: 0 occurrences (0.0%) +14.5% to +16.6%: 1 occurrences (0.2%) 15.5%
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) 15.0% 8.7% Model-free reality across 519 historical 3-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 5.8% Adjusts normal bell curve for real-world skewness (-0.2) and kurtosis (3.14).
Standard Normal (Black-Scholes / GBM) 18.1% 9.1% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 15.2% 9.1% Filters for historical windows that started with volatility similar to current 20-day HV (375 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 33.4%
  • Recent 20-Day HV: 33.3%
  • Parkinson Intraday Volatility: 17.8%
  • Vol Trend: Normal / Consistent

3-Day Return Quantiles

  • Median Return: +0.6%
  • Top 10% Move (90th percentile): +4.8%
  • Bottom 10% Move (10th percentile): -3.2%
  • Max Historical Gain (3d): +16.6%
  • Max Historical Loss (3d): -16.8%