Finance

SNES Move Probability $0.76 +0.08 (+11.2%)

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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Touch Probability (First Passage)
62.2%
Stock touched +5.0% ($0.80) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
29.1%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.14x
You are 2.1x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±22.8%
$0.59 — $0.93

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%.

-39.4% to -31.8%: 8 occurrences (1.6%) -35.6% -31.8% to -24.2%: 35 occurrences (6.9%) -24.2% to -16.6%: 61 occurrences (12.0%) -16.6% to -9.0%: 115 occurrences (22.6%) -12.8% -9.0% to -1.4%: 89 occurrences (17.5%) -1.4% to +6.2%: 56 occurrences (11.0%) +6.2% to +13.8%: 50 occurrences (9.8%) 10.0% +13.8% to +21.4%: 28 occurrences (5.5%) +21.4% to +29.0%: 22 occurrences (4.3%) +29.0% to +36.6%: 13 occurrences (2.6%) 32.8% +36.6% to +44.2%: 12 occurrences (2.4%) +44.2% to +51.8%: 4 occurrences (0.8%) +51.8% to +59.4%: 5 occurrences (1.0%) 55.6% +59.4% to +67.0%: 3 occurrences (0.6%) +67.0% to +74.6%: 1 occurrences (0.2%) +74.6% to +82.2%: 6 occurrences (1.2%) 78.4%
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) 62.2% 29.1% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 33.1% Adjusts normal bell curve for real-world skewness (0.7) and kurtosis (4.78).
Standard Normal (Black-Scholes / GBM) 83.0% 41.5% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 59.6% 26.7% Filters for historical windows that started with volatility similar to current 20-day HV (337 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 96.7%
  • Recent 20-Day HV: 110.7%
  • Parkinson Intraday Volatility: 57.4%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: -6.7%
  • Top 10% Move (90th percentile): +27.3%
  • Bottom 10% Move (10th percentile): -23.4%
  • Max Historical Gain (14d): +82.2%
  • Max Historical Loss (14d): -39.4%