Finance

SNDX Move Probability $13.82 -2.72 (-16.4%)

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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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
72.6%
Stock touched +5.0% ($14.51) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
29.7%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.44x
You are 2.4x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±14.6%
$11.80 — $15.84

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 508 historical windows (2024-09-13 to 2026-10-13). The colored bar indicates the win zone for +5.0%.

-32.8% to -26.7%: 5 occurrences (1.0%) -29.7% -26.7% to -20.6%: 20 occurrences (3.9%) -20.6% to -14.6%: 46 occurrences (9.1%) -14.6% to -8.5%: 57 occurrences (11.2%) -11.5% -8.5% to -2.4%: 88 occurrences (17.3%) -2.4% to +3.6%: 114 occurrences (22.4%) +3.6% to +9.7%: 72 occurrences (14.2%) 6.7% +9.7% to +15.8%: 32 occurrences (6.3%) +15.8% to +21.8%: 25 occurrences (4.9%) +21.8% to +27.9%: 25 occurrences (4.9%) 24.9% +27.9% to +34.0%: 13 occurrences (2.6%) +34.0% to +40.0%: 4 occurrences (0.8%) +40.0% to +46.1%: 0 occurrences (0.0%) 43.1% +46.1% to +52.2%: 0 occurrences (0.0%) +52.2% to +58.2%: 4 occurrences (0.8%) +58.2% to +64.3%: 3 occurrences (0.6%) 61.3%
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) 72.6% 29.7% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 29.1% Adjusts normal bell curve for real-world skewness (-0.99) and kurtosis (10.17).
Standard Normal (Black-Scholes / GBM) 73.9% 36.9% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 72.5% 33.1% Filters for historical windows that started with volatility similar to current 20-day HV (251 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 62.1%
  • Recent 20-Day HV: 72.3%
  • Parkinson Intraday Volatility: 51.6%
  • Vol Trend: Expanded (+17% vs baseline)

14-Day Return Quantiles

  • Median Return: -0.1%
  • Top 10% Move (90th percentile): +21.3%
  • Bottom 10% Move (10th percentile): -17.3%
  • Max Historical Gain (14d): +64.3%
  • Max Historical Loss (14d): -32.8%