Finance

NDLS Move Probability $11.99 -0.61 (-4.8%)

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 NDLS Options chain →
Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
70.7%
Stock touched +5.0% ($12.59) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
37.3%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.89x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±23.0%
$9.23 — $14.75

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 509 historical windows (2024-09-23 to 2026-10-22). The colored bar indicates the win zone for +5.0%.

-41.9% to -29.1%: 29 occurrences (5.7%) -35.5% -29.1% to -16.2%: 66 occurrences (13.0%) -16.2% to -3.4%: 130 occurrences (25.5%) -3.4% to +9.5%: 136 occurrences (26.7%) 3.0% +9.5% to +22.3%: 53 occurrences (10.4%) +22.3% to +35.2%: 41 occurrences (8.1%) +35.2% to +48.0%: 23 occurrences (4.5%) 41.6% +48.0% to +60.8%: 13 occurrences (2.6%) +60.8% to +73.7%: 6 occurrences (1.2%) +73.7% to +86.5%: 0 occurrences (0.0%) 80.1% +86.5% to +99.4%: 2 occurrences (0.4%) +99.4% to +112.2%: 2 occurrences (0.4%) +112.2% to +125.1%: 4 occurrences (0.8%) 118.6% +125.1% to +137.9%: 0 occurrences (0.0%) +137.9% to +150.8%: 3 occurrences (0.6%) +150.8% to +163.6%: 1 occurrences (0.2%) 157.2%
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) 70.7% 37.3% Model-free reality across 509 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 26.1% Adjusts normal bell curve for real-world skewness (1.24) and kurtosis (10.56).
Standard Normal (Black-Scholes / GBM) 83.2% 41.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 67.5% 36.2% Filters for historical windows that started with volatility similar to current 20-day HV (163 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 97.6%
  • Recent 20-Day HV: 59.6%
  • Parkinson Intraday Volatility: 57.2%
  • Vol Trend: Compressed (-39% vs baseline)

14-Day Return Quantiles

  • Median Return: -0.7%
  • Top 10% Move (90th percentile): +36.5%
  • Bottom 10% Move (10th percentile): -22.3%
  • Max Historical Gain (14d): +163.6%
  • Max Historical Loss (14d): -41.9%