Finance

NAMS Move Probability $21.52 +0.02 (+0.1%)

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)
66.9%
Stock touched +5.0% ($22.60) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
40.4%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.66x
You are 1.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±14.4%
$18.42 — $24.62

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%.

-37.5% to -31.8%: 6 occurrences (1.2%) -34.6% -31.8% to -26.1%: 5 occurrences (1.0%) -26.1% to -20.4%: 15 occurrences (3.0%) -20.4% to -14.6%: 39 occurrences (7.7%) -17.5% -14.6% to -8.9%: 73 occurrences (14.4%) -8.9% to -3.2%: 70 occurrences (13.8%) -3.2% to +2.5%: 68 occurrences (13.4%) -0.4% +2.5% to +8.2%: 67 occurrences (13.2%) +8.2% to +13.9%: 49 occurrences (9.6%) +13.9% to +19.6%: 49 occurrences (9.6%) 16.8% +19.6% to +25.3%: 31 occurrences (6.1%) +25.3% to +31.0%: 20 occurrences (3.9%) +31.0% to +36.7%: 8 occurrences (1.6%) 33.9% +36.7% to +42.4%: 6 occurrences (1.2%) +42.4% to +48.2%: 1 occurrences (0.2%) +48.2% to +53.9%: 1 occurrences (0.2%) 51.0%
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) 66.9% 40.4% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 16.3% Adjusts normal bell curve for real-world skewness (1.28) and kurtosis (12.98).
Standard Normal (Black-Scholes / GBM) 73.5% 36.7% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 68.1% 37.6% Filters for historical windows that started with volatility similar to current 20-day HV (335 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 61.1%
  • Recent 20-Day HV: 45.7%
  • Parkinson Intraday Volatility: 50.1%
  • Vol Trend: Compressed (-25% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.8%
  • Top 10% Move (90th percentile): +21.8%
  • Bottom 10% Move (10th percentile): -16.7%
  • Max Historical Gain (14d): +53.9%
  • Max Historical Loss (14d): -37.5%