Finance

SND Move Probability $5.26 +0.01 (+0.2%)

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)
70.5%
Stock touched +5.0% ($5.52) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
41.5%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.70x
You are 1.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±14.6%
$4.49 — $6.03

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%.

-32.4% to -26.2%: 6 occurrences (1.2%) -29.3% -26.2% to -20.0%: 9 occurrences (1.8%) -20.0% to -13.8%: 15 occurrences (3.0%) -13.8% to -7.6%: 51 occurrences (10.0%) -10.7% -7.6% to -1.4%: 93 occurrences (18.3%) -1.4% to +4.8%: 122 occurrences (24.0%) +4.8% to +11.0%: 84 occurrences (16.5%) 7.9% +11.0% to +17.2%: 69 occurrences (13.6%) +17.2% to +23.4%: 25 occurrences (4.9%) +23.4% to +29.6%: 11 occurrences (2.2%) 26.5% +29.6% to +35.8%: 7 occurrences (1.4%) +35.8% to +42.0%: 7 occurrences (1.4%) +42.0% to +48.3%: 2 occurrences (0.4%) 45.1% +48.3% to +54.5%: 3 occurrences (0.6%) +54.5% to +60.7%: 3 occurrences (0.6%) +60.7% to +66.9%: 1 occurrences (0.2%) 63.8%
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) 70.5% 41.5% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 32.2% Adjusts normal bell curve for real-world skewness (-0.73) and kurtosis (6.46).
Standard Normal (Black-Scholes / GBM) 73.9% 37.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 57.6% 28.0% Filters for historical windows that started with volatility similar to current 20-day HV (118 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 62.1%
  • Recent 20-Day HV: 30.6%
  • Parkinson Intraday Volatility: 42.0%
  • Vol Trend: Compressed (-51% vs baseline)

14-Day Return Quantiles

  • Median Return: +2.3%
  • Top 10% Move (90th percentile): +19.7%
  • Bottom 10% Move (10th percentile): -11.1%
  • Max Historical Gain (14d): +66.9%
  • Max Historical Loss (14d): -32.4%