Finance

NE Move Probability $47.72 +3.76 (+8.6%)

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)
62.1%
Stock touched +5.0% ($50.11) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
36.9%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.68x
You are 1.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±10.7%
$42.61 — $52.83

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 509 historical windows (2024-09-24 to 2026-10-23). The colored bar indicates the win zone for +5.0%.

-27.2% to -23.6%: 5 occurrences (1.0%) -25.4% -23.6% to -20.0%: 6 occurrences (1.2%) -20.0% to -16.4%: 14 occurrences (2.8%) -16.4% to -12.8%: 25 occurrences (4.9%) -14.6% -12.8% to -9.2%: 33 occurrences (6.5%) -9.2% to -5.6%: 45 occurrences (8.8%) -5.6% to -2.1%: 64 occurrences (12.6%) -3.9% -2.1% to +1.5%: 68 occurrences (13.4%) +1.5% to +5.1%: 63 occurrences (12.4%) +5.1% to +8.7%: 79 occurrences (15.5%) 6.9% +8.7% to +12.3%: 30 occurrences (5.9%) +12.3% to +15.9%: 26 occurrences (5.1%) +15.9% to +19.4%: 21 occurrences (4.1%) 17.6% +19.4% to +23.0%: 15 occurrences (2.9%) +23.0% to +26.6%: 8 occurrences (1.6%) +26.6% to +30.2%: 7 occurrences (1.4%) 28.4%
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) 62.1% 36.9% Model-free reality across 509 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 26.7% Adjusts normal bell curve for real-world skewness (-0.17) and kurtosis (3.58).
Standard Normal (Black-Scholes / GBM) 64.9% 32.4% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 63.1% 36.1% Filters for historical windows that started with volatility similar to current 20-day HV (452 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 45.4%
  • Recent 20-Day HV: 42.3%
  • Parkinson Intraday Volatility: 36.0%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: +1.2%
  • Top 10% Move (90th percentile): +15.8%
  • Bottom 10% Move (10th percentile): -12.6%
  • Max Historical Gain (14d): +30.2%
  • Max Historical Loss (14d): -27.2%