Finance

NEN Move Probability $51.00 -4.16 (-7.5%)

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)
2.8%
Stock touched +5.0% ($53.55) at least once during 14 trading days.
Median first touch: Day 8 of 14
Expiration Close Probability
2.8%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.00x
You are 1.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±3.7%
$49.11 — $52.89

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 507 historical windows (2024-09-23 to 2026-10-20). The colored bar indicates the win zone for +5.0%.

-13.5% to -11.5%: 14 occurrences (2.8%) -12.5% -11.5% to -9.6%: 0 occurrences (0.0%) -9.6% to -7.7%: 11 occurrences (2.2%) -7.7% to -5.8%: 17 occurrences (3.4%) -6.8% -5.8% to -3.9%: 0 occurrences (0.0%) -3.9% to -2.0%: 54 occurrences (10.7%) -2.0% to -0.1%: 32 occurrences (6.3%) -1.0% -0.1% to +1.8%: 358 occurrences (70.6%) +1.8% to +3.7%: 1 occurrences (0.2%) +3.7% to +5.6%: 6 occurrences (1.2%) 4.7% +5.6% to +7.5%: 0 occurrences (0.0%) +7.5% to +9.5%: 0 occurrences (0.0%) +9.5% to +11.4%: 0 occurrences (0.0%) 10.4% +11.4% to +13.3%: 7 occurrences (1.4%) +13.3% to +15.2%: 0 occurrences (0.0%) +15.2% to +17.1%: 7 occurrences (1.4%) 16.1%
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) 2.8% 2.8% Model-free reality across 507 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 0.0% Adjusts normal bell curve for real-world skewness (-4.57) and kurtosis (129.83).
Standard Normal (Black-Scholes / GBM) 18.9% 9.4% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 0.0% 0.0% Filters for historical windows that started with volatility similar to current 20-day HV (21 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 15.8%
  • Recent 20-Day HV: 27.8%
  • Parkinson Intraday Volatility: 0.0%
  • Vol Trend: Expanded (+77% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.0%
  • Top 10% Move (90th percentile): +0.7%
  • Bottom 10% Move (10th percentile): -3.0%
  • Max Historical Gain (14d): +17.1%
  • Max Historical Loss (14d): -13.5%