Finance

NATR Move Probability $12.28 -0.41 (-3.2%)

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

← Back to NATR Options chain →
Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
46.5%
Stock touched +5.0% ($12.89) at least once during 14 trading days.
Median first touch: Day 5 of 14
Expiration Close Probability
27.2%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.71x
You are 1.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±10.7%
$10.97 — $13.59

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%.

-32.0% to -26.5%: 9 occurrences (1.8%) -29.3% -26.5% to -21.1%: 5 occurrences (1.0%) -21.1% to -15.6%: 14 occurrences (2.8%) -15.6% to -10.2%: 32 occurrences (6.3%) -12.9% -10.2% to -4.7%: 120 occurrences (23.6%) -4.7% to +0.8%: 119 occurrences (23.4%) +0.8% to +6.2%: 89 occurrences (17.5%) 3.5% +6.2% to +11.7%: 51 occurrences (10.0%) +11.7% to +17.1%: 31 occurrences (6.1%) +17.1% to +22.6%: 13 occurrences (2.6%) 19.9% +22.6% to +28.1%: 10 occurrences (2.0%) +28.1% to +33.5%: 1 occurrences (0.2%) +33.5% to +39.0%: 2 occurrences (0.4%) 36.2% +39.0% to +44.4%: 2 occurrences (0.4%) +44.4% to +49.9%: 5 occurrences (1.0%) +49.9% to +55.4%: 5 occurrences (1.0%) 52.6%
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) 46.5% 27.2% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 3.6% Adjusts normal bell curve for real-world skewness (1.12) and kurtosis (23.76).
Standard Normal (Black-Scholes / GBM) 64.8% 32.4% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 45.3%
  • Recent 20-Day HV: 15.3%
  • Parkinson Intraday Volatility: 24.1%
  • Vol Trend: Compressed (-66% vs baseline)

14-Day Return Quantiles

  • Median Return: -1.5%
  • Top 10% Move (90th percentile): +14.0%
  • Bottom 10% Move (10th percentile): -10.5%
  • Max Historical Gain (14d): +55.4%
  • Max Historical Loss (14d): -32.0%