Finance

NEPH Move Probability $3.58 +0.04 (+1.3%)

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)
61.8%
Stock touched +5.0% ($3.76) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
34.1%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.82x
You are 1.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±18.5%
$2.92 — $4.24

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%.

-30.9% to -24.9%: 9 occurrences (1.8%) -27.9% -24.9% to -18.8%: 15 occurrences (3.0%) -18.8% to -12.8%: 38 occurrences (7.5%) -12.8% to -6.8%: 51 occurrences (10.0%) -9.8% -6.8% to -0.7%: 89 occurrences (17.5%) -0.7% to +5.3%: 137 occurrences (27.0%) +5.3% to +11.4%: 65 occurrences (12.8%) 8.3% +11.4% to +17.4%: 23 occurrences (4.5%) +17.4% to +23.4%: 24 occurrences (4.7%) +23.4% to +29.5%: 22 occurrences (4.3%) 26.5% +29.5% to +35.5%: 14 occurrences (2.8%) +35.5% to +41.6%: 7 occurrences (1.4%) +41.6% to +47.6%: 2 occurrences (0.4%) 44.6% +47.6% to +53.7%: 3 occurrences (0.6%) +53.7% to +59.7%: 5 occurrences (1.0%) +59.7% to +65.7%: 4 occurrences (0.8%) 62.7%
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) 61.8% 34.1% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 27.1% Adjusts normal bell curve for real-world skewness (0.73) and kurtosis (7.78).
Standard Normal (Black-Scholes / GBM) 79.2% 39.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 58.2% 30.7% Filters for historical windows that started with volatility similar to current 20-day HV (225 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 78.4%
  • Recent 20-Day HV: 72.2%
  • Parkinson Intraday Volatility: 29.5%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: +0.9%
  • Top 10% Move (90th percentile): +24.4%
  • Bottom 10% Move (10th percentile): -13.9%
  • Max Historical Gain (14d): +65.7%
  • Max Historical Loss (14d): -30.9%