Finance

NEON Move Probability $0.78 -0.02 (-2.6%)

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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Touch Probability (First Passage)
69.1%
Stock touched +5.0% ($0.81) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
31.7%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.18x
You are 2.2x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±29.1%
$0.55 — $1.00

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%.

-84.4% to -68.9%: 14 occurrences (2.8%) -76.6% -68.9% to -53.4%: 0 occurrences (0.0%) -53.4% to -37.9%: 5 occurrences (1.0%) -37.9% to -22.4%: 45 occurrences (8.9%) -30.1% -22.4% to -6.8%: 147 occurrences (28.9%) -6.8% to +8.7%: 176 occurrences (34.6%) +8.7% to +24.2%: 80 occurrences (15.7%) 16.4% +24.2% to +39.7%: 17 occurrences (3.3%) +39.7% to +55.2%: 2 occurrences (0.4%) +55.2% to +70.7%: 7 occurrences (1.4%) 63.0% +70.7% to +86.2%: 4 occurrences (0.8%) +86.2% to +101.7%: 2 occurrences (0.4%) +101.7% to +117.2%: 4 occurrences (0.8%) 109.5% +117.2% to +132.7%: 1 occurrences (0.2%) +132.7% to +148.3%: 1 occurrences (0.2%) +148.3% to +163.8%: 3 occurrences (0.6%) 156.0%
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) 69.1% 31.7% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 35.5% Adjusts normal bell curve for real-world skewness (-7.44) and kurtosis (129.03).
Standard Normal (Black-Scholes / GBM) 86.7% 43.3% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 69.5% 29.7% Filters for historical windows that started with volatility similar to current 20-day HV (128 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 123.3%
  • Recent 20-Day HV: 44.5%
  • Parkinson Intraday Volatility: 70.6%
  • Vol Trend: Compressed (-64% vs baseline)

14-Day Return Quantiles

  • Median Return: -4.2%
  • Top 10% Move (90th percentile): +20.7%
  • Bottom 10% Move (10th percentile): -24.0%
  • Max Historical Gain (14d): +163.8%
  • Max Historical Loss (14d): -84.4%