Finance

SANA Move Probability $2.35 -0.01 (-0.4%)

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)
76.4%
Stock touched +5.0% ($2.46) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
34.1%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.24x
You are 2.2x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±27.5%
$1.70 — $2.99

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%.

-53.2% to -41.4%: 6 occurrences (1.2%) -47.3% -41.4% to -29.5%: 32 occurrences (6.3%) -29.5% to -17.6%: 77 occurrences (15.2%) -17.6% to -5.7%: 122 occurrences (24.0%) -11.7% -5.7% to +6.1%: 101 occurrences (19.9%) +6.1% to +18.0%: 62 occurrences (12.2%) +18.0% to +29.9%: 46 occurrences (9.1%) 24.0% +29.9% to +41.8%: 17 occurrences (3.3%) +41.8% to +53.7%: 13 occurrences (2.6%) +53.7% to +65.5%: 14 occurrences (2.8%) 59.6% +65.5% to +77.4%: 4 occurrences (0.8%) +77.4% to +89.3%: 3 occurrences (0.6%) +89.3% to +101.2%: 3 occurrences (0.6%) 95.2% +101.2% to +113.1%: 1 occurrences (0.2%) +113.1% to +124.9%: 6 occurrences (1.2%) +124.9% to +136.8%: 1 occurrences (0.2%) 130.9%
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) 76.4% 34.1% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 5.3% Adjusts normal bell curve for real-world skewness (4.1) and kurtosis (54.1).
Standard Normal (Black-Scholes / GBM) 85.9% 43.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 72.9% 25.9% Filters for historical windows that started with volatility similar to current 20-day HV (170 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 116.6%
  • Recent 20-Day HV: 56.7%
  • Parkinson Intraday Volatility: 88.5%
  • Vol Trend: Compressed (-51% vs baseline)

14-Day Return Quantiles

  • Median Return: -4.3%
  • Top 10% Move (90th percentile): +37.9%
  • Bottom 10% Move (10th percentile): -26.9%
  • Max Historical Gain (14d): +136.8%
  • Max Historical Loss (14d): -53.2%