Finance

SNDX Move Probability $13.85 -2.69 (-16.3%)

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)
37.6%
Stock touched +5.0% ($14.54) at least once during 3 trading days.
Median first touch: Day 2 of 3
Expiration Close Probability
17.3%
Stock closed at or beyond +5.0% at the end of the 3-day window.
The Touch Multiple
2.17x
You are 2.2x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±6.8%
$12.91 — $14.79

Historical 3-Day Return Distribution

Frequency of rolling 3-day percentage returns over 519 historical windows (2024-09-13 to 2026-10-13). The colored bar indicates the win zone for +5.0%.

-27.3% to -23.7%: 3 occurrences (0.6%) -25.5% -23.7% to -20.2%: 2 occurrences (0.4%) -20.2% to -16.7%: 3 occurrences (0.6%) -16.7% to -13.1%: 7 occurrences (1.3%) -14.9% -13.1% to -9.6%: 6 occurrences (1.2%) -9.6% to -6.1%: 47 occurrences (9.1%) -6.1% to -2.6%: 93 occurrences (17.9%) -4.3% -2.6% to +1.0%: 141 occurrences (27.2%) +1.0% to +4.5%: 122 occurrences (23.5%) +4.5% to +8.0%: 49 occurrences (9.4%) 6.3% +8.0% to +11.6%: 20 occurrences (3.9%) +11.6% to +15.1%: 14 occurrences (2.7%) +15.1% to +18.6%: 7 occurrences (1.3%) 16.9% +18.6% to +22.2%: 2 occurrences (0.4%) +22.2% to +25.7%: 1 occurrences (0.2%) +25.7% to +29.2%: 2 occurrences (0.4%) 27.5%
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) 37.6% 17.3% Model-free reality across 519 historical 3-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 9.3% Adjusts normal bell curve for real-world skewness (-0.99) and kurtosis (10.17).
Standard Normal (Black-Scholes / GBM) 47.1% 23.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 39.0% 15.9% 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)

3-Day Return Quantiles

  • Median Return: -0.1%
  • Top 10% Move (90th percentile): +7.6%
  • Bottom 10% Move (10th percentile): -6.7%
  • Max Historical Gain (3d): +29.2%
  • Max Historical Loss (3d): -27.3%