Finance

SANM Move Probability $172.18 +2.69 (+1.6%)

Real historical back-data analysis: evaluates rolling trading-day windows to determine the probability of a stock touching or closing at your target move.

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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
69.1%
Stock touched +5.0% ($180.79) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
42.3%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.63x
You are 1.6x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±14.0%
$148.03 — $196.33

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%.

-23.0% to -18.2%: 14 occurrences (2.8%) -20.6% -18.2% to -13.4%: 31 occurrences (6.1%) -13.4% to -8.5%: 26 occurrences (5.1%) -8.5% to -3.7%: 63 occurrences (12.4%) -6.1% -3.7% to +1.1%: 80 occurrences (15.7%) +1.1% to +5.9%: 104 occurrences (20.5%) +5.9% to +10.7%: 69 occurrences (13.6%) 8.3% +10.7% to +15.6%: 48 occurrences (9.4%) +15.6% to +20.4%: 33 occurrences (6.5%) +20.4% to +25.2%: 8 occurrences (1.6%) 22.8% +25.2% to +30.0%: 9 occurrences (1.8%) +30.0% to +34.8%: 8 occurrences (1.6%) +34.8% to +39.7%: 3 occurrences (0.6%) 37.2% +39.7% to +44.5%: 7 occurrences (1.4%) +44.5% to +49.3%: 4 occurrences (0.8%) +49.3% to +54.1%: 1 occurrences (0.2%) 51.7%
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) 69.1% 42.3% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 24.9% Adjusts normal bell curve for real-world skewness (-0.22) and kurtosis (8.72).
Standard Normal (Black-Scholes / GBM) 72.8% 36.4% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 63.3% 33.5% Filters for historical windows that started with volatility similar to current 20-day HV (275 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 59.5%
  • Recent 20-Day HV: 53.8%
  • Parkinson Intraday Volatility: 39.9%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: +3.2%
  • Top 10% Move (90th percentile): +18.4%
  • Bottom 10% Move (10th percentile): -12.1%
  • Max Historical Gain (14d): +54.1%
  • Max Historical Loss (14d): -23.0%