Finance

SNAP Move Probability $5.47 +0.12 (+2.3%)

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)
39.0%
Stock touched +5.0% ($5.74) at least once during 4 trading days.
Median first touch: Day 2 of 4
Expiration Close Probability
17.8%
Stock closed at or beyond +5.0% at the end of the 4-day window.
The Touch Multiple
2.20x
You are 2.2x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±7.4%
$5.06 — $5.88

Historical 4-Day Return Distribution

Frequency of rolling 4-day percentage returns over 518 historical windows (2024-10-03 to 2026-11-02). The colored bar indicates the win zone for +5.0%.

-26.2% to -23.0%: 2 occurrences (0.4%) -24.6% -23.0% to -19.8%: 3 occurrences (0.6%) -19.8% to -16.6%: 5 occurrences (1.0%) -16.6% to -13.4%: 4 occurrences (0.8%) -15.0% -13.4% to -10.2%: 17 occurrences (3.3%) -10.2% to -7.0%: 40 occurrences (7.7%) -7.0% to -3.7%: 79 occurrences (15.3%) -5.4% -3.7% to -0.5%: 108 occurrences (20.8%) -0.5% to +2.7%: 99 occurrences (19.1%) +2.7% to +5.9%: 78 occurrences (15.1%) 4.3% +5.9% to +9.1%: 34 occurrences (6.6%) +9.1% to +12.3%: 25 occurrences (4.8%) +12.3% to +15.5%: 8 occurrences (1.5%) 13.9% +15.5% to +18.7%: 10 occurrences (1.9%) +18.7% to +21.9%: 2 occurrences (0.4%) +21.9% to +25.1%: 4 occurrences (0.8%) 23.5%
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) 39.0% 17.8% Model-free reality across 518 historical 4-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 17.1% Adjusts normal bell curve for real-world skewness (0.05) and kurtosis (4.07).
Standard Normal (Black-Scholes / GBM) 51.0% 25.5% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 35.8% 13.8% Filters for historical windows that started with volatility similar to current 20-day HV (400 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 58.8%
  • Recent 20-Day HV: 59.0%
  • Parkinson Intraday Volatility: 47.4%
  • Vol Trend: Normal / Consistent

4-Day Return Quantiles

  • Median Return: -0.5%
  • Top 10% Move (90th percentile): +8.7%
  • Bottom 10% Move (10th percentile): -8.1%
  • Max Historical Gain (4d): +25.1%
  • Max Historical Loss (4d): -26.2%