Finance

NAII Move Probability $1.11 -0.09 (-7.9%)

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)
35.6%
Stock touched +5.0% ($1.17) at least once during 14 trading days.
Median first touch: Day 5 of 14
Expiration Close Probability
17.5%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.03x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±13.7%
$0.96 — $1.26

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%.

-41.9% to -36.3%: 13 occurrences (2.6%) -39.1% -36.3% to -30.7%: 10 occurrences (2.0%) -30.7% to -25.1%: 9 occurrences (1.8%) -25.1% to -19.6%: 20 occurrences (3.9%) -22.3% -19.6% to -14.0%: 23 occurrences (4.5%) -14.0% to -8.4%: 45 occurrences (8.9%) -8.4% to -2.8%: 112 occurrences (22.0%) -5.6% -2.8% to +2.8%: 159 occurrences (31.3%) +2.8% to +8.3%: 53 occurrences (10.4%) +8.3% to +13.9%: 35 occurrences (6.9%) 11.1% +13.9% to +19.5%: 6 occurrences (1.2%) +19.5% to +25.1%: 9 occurrences (1.8%) +25.1% to +30.7%: 6 occurrences (1.2%) 27.9% +30.7% to +36.3%: 1 occurrences (0.2%) +36.3% to +41.8%: 1 occurrences (0.2%) +41.8% to +47.4%: 6 occurrences (1.2%) 44.6%
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) 35.6% 17.5% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 27.4% Adjusts normal bell curve for real-world skewness (-2.66) and kurtosis (22.63).
Standard Normal (Black-Scholes / GBM) 72.2% 36.1% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 37.0% 14.8% Filters for historical windows that started with volatility similar to current 20-day HV (135 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 58.3%
  • Recent 20-Day HV: 86.2%
  • Parkinson Intraday Volatility: 17.4%
  • Vol Trend: Expanded (+48% vs baseline)

14-Day Return Quantiles

  • Median Return: -2.1%
  • Top 10% Move (90th percentile): +9.2%
  • Bottom 10% Move (10th percentile): -19.8%
  • Max Historical Gain (14d): +47.4%
  • Max Historical Loss (14d): -41.9%