Finance

NABL Move Probability $4.79 +0.02 (+0.4%)

Real historical back-data analysis: evaluates rolling trading-day windows to determine the probability of a stock touching or closing at your target move.

← Back to NABL Options chain →
Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
56.3%
Stock touched +5.0% ($5.03) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
25.0%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.25x
You are 2.2x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±15.0%
$4.07 — $5.51

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%.

-36.1% to -30.9%: 10 occurrences (2.0%) -33.5% -30.9% to -25.7%: 16 occurrences (3.1%) -25.7% to -20.6%: 25 occurrences (4.9%) -20.6% to -15.4%: 26 occurrences (5.1%) -18.0% -15.4% to -10.2%: 36 occurrences (7.1%) -10.2% to -5.0%: 68 occurrences (13.4%) -5.0% to +0.2%: 106 occurrences (20.9%) -2.4% +0.2% to +5.4%: 100 occurrences (19.7%) +5.4% to +10.6%: 56 occurrences (11.0%) +10.6% to +15.8%: 33 occurrences (6.5%) 13.2% +15.8% to +21.0%: 12 occurrences (2.4%) +21.0% to +26.2%: 4 occurrences (0.8%) +26.2% to +31.4%: 5 occurrences (1.0%) 28.8% +31.4% to +36.5%: 3 occurrences (0.6%) +36.5% to +41.7%: 4 occurrences (0.8%) +41.7% to +46.9%: 4 occurrences (0.8%) 44.3%
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) 56.3% 25.0% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 25.8% Adjusts normal bell curve for real-world skewness (-3.56) and kurtosis (35.8).
Standard Normal (Black-Scholes / GBM) 74.5% 37.2% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 62.2% 25.9% Filters for historical windows that started with volatility similar to current 20-day HV (259 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 63.6%
  • Recent 20-Day HV: 45.7%
  • Parkinson Intraday Volatility: 41.4%
  • Vol Trend: Compressed (-28% vs baseline)

14-Day Return Quantiles

  • Median Return: -1.2%
  • Top 10% Move (90th percentile): +12.3%
  • Bottom 10% Move (10th percentile): -19.9%
  • Max Historical Gain (14d): +46.9%
  • Max Historical Loss (14d): -36.1%