Finance

SNAP Move Probability $5.49 +0.15 (+2.7%)

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)
66.1%
Stock touched +5.0% ($5.76) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
30.3%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.18x
You are 2.2x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±13.9%
$4.73 — $6.25

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 508 historical windows (2024-10-03 to 2026-11-02). The colored bar indicates the win zone for +5.0%.

-37.0% to -31.3%: 6 occurrences (1.2%) -34.1% -31.3% to -25.7%: 11 occurrences (2.2%) -25.7% to -20.0%: 20 occurrences (3.9%) -20.0% to -14.4%: 29 occurrences (5.7%) -17.2% -14.4% to -8.8%: 47 occurrences (9.3%) -8.8% to -3.1%: 91 occurrences (17.9%) -3.1% to +2.5%: 120 occurrences (23.6%) -0.3% +2.5% to +8.2%: 74 occurrences (14.6%) +8.2% to +13.8%: 49 occurrences (9.6%) +13.8% to +19.5%: 37 occurrences (7.3%) 16.6% +19.5% to +25.1%: 15 occurrences (3.0%) +25.1% to +30.7%: 5 occurrences (1.0%) +30.7% to +36.4%: 1 occurrences (0.2%) 33.6% +36.4% to +42.0%: 0 occurrences (0.0%) +42.0% to +47.7%: 0 occurrences (0.0%) +47.7% to +53.3%: 3 occurrences (0.6%) 50.5%
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) 66.1% 30.3% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 29.8% Adjusts normal bell curve for real-world skewness (0.05) and kurtosis (4.07).
Standard Normal (Black-Scholes / GBM) 72.5% 36.3% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 61.4% 24.2% Filters for historical windows that started with volatility similar to current 20-day HV (389 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 58.8%
  • Recent 20-Day HV: 59.3%
  • Parkinson Intraday Volatility: 47.4%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: -0.5%
  • Top 10% Move (90th percentile): +14.5%
  • Bottom 10% Move (10th percentile): -16.9%
  • Max Historical Gain (14d): +53.3%
  • Max Historical Loss (14d): -37.0%