Finance

SNXX Move Probability $8.47 -1.72 (-16.9%)

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)
58.1%
Stock touched +5.0% ($8.89) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
37.6%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
1.54x
You are 1.5x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±13.6%
$7.31 — $9.63

Historical 1-Day Return Distribution

Frequency of rolling 1-day percentage returns over 186 historical windows (2026-01-27 to 2026-10-22). The colored bar indicates the win zone for +5.0%.

-31.7% to -26.5%: 4 occurrences (2.2%) -29.1% -26.5% to -21.2%: 6 occurrences (3.2%) -21.2% to -15.9%: 7 occurrences (3.8%) -15.9% to -10.6%: 17 occurrences (9.1%) -13.3% -10.6% to -5.3%: 22 occurrences (11.8%) -5.3% to -0.0%: 34 occurrences (18.3%) -0.0% to +5.2%: 29 occurrences (15.6%) 2.6% +5.2% to +10.5%: 18 occurrences (9.7%) +10.5% to +15.8%: 24 occurrences (12.9%) +15.8% to +21.1%: 8 occurrences (4.3%) 18.4% +21.1% to +26.4%: 10 occurrences (5.4%) +26.4% to +31.6%: 4 occurrences (2.2%) +31.6% to +36.9%: 1 occurrences (0.5%) 34.3% +36.9% to +42.2%: 1 occurrences (0.5%) +42.2% to +47.5%: 0 occurrences (0.0%) +47.5% to +52.8%: 1 occurrences (0.5%) 50.1%
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) 58.1% 37.6% Model-free reality across 186 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 36.5% Adjusts normal bell curve for real-world skewness (-0.15) and kurtosis (0.24).
Standard Normal (Black-Scholes / GBM) 72.1% 36.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 26.7% 16.7% Filters for historical windows that started with volatility similar to current 20-day HV (30 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 216.7%
  • Recent 20-Day HV: 117.8%
  • Parkinson Intraday Volatility: 157.0%
  • Vol Trend: Compressed (-46% vs baseline)

1-Day Return Quantiles

  • Median Return: +0.3%
  • Top 10% Move (90th percentile): +19.3%
  • Bottom 10% Move (10th percentile): -14.4%
  • Max Historical Gain (1d): +52.8%
  • Max Historical Loss (1d): -31.7%