Finance

NET Move Probability $307.40 +15.83 (+5.4%)

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)
76.4%
Stock touched +5.0% ($322.77) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
45.9%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.67x
You are 1.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±13.8%
$264.98 — $349.82

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%.

-31.0% to -26.2%: 1 occurrences (0.2%) -28.6% -26.2% to -21.4%: 9 occurrences (1.8%) -21.4% to -16.6%: 14 occurrences (2.8%) -16.6% to -11.8%: 26 occurrences (5.1%) -14.2% -11.8% to -7.0%: 32 occurrences (6.3%) -7.0% to -2.2%: 65 occurrences (12.8%) -2.2% to +2.6%: 89 occurrences (17.5%) 0.2% +2.6% to +7.4%: 68 occurrences (13.4%) +7.4% to +12.2%: 82 occurrences (16.1%) +12.2% to +17.0%: 39 occurrences (7.7%) 14.6% +17.0% to +21.8%: 24 occurrences (4.7%) +21.8% to +26.6%: 29 occurrences (5.7%) +26.6% to +31.4%: 14 occurrences (2.8%) 29.0% +31.4% to +36.3%: 8 occurrences (1.6%) +36.3% to +41.1%: 5 occurrences (1.0%) +41.1% to +45.9%: 3 occurrences (0.6%) 43.5%
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) 76.4% 45.9% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 28.7% Adjusts normal bell curve for real-world skewness (-0.61) and kurtosis (7.45).
Standard Normal (Black-Scholes / GBM) 72.4% 36.2% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 78.9% 44.4% Filters for historical windows that started with volatility similar to current 20-day HV (313 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 58.5%
  • Recent 20-Day HV: 51.4%
  • Parkinson Intraday Volatility: 45.2%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: +3.6%
  • Top 10% Move (90th percentile): +23.2%
  • Bottom 10% Move (10th percentile): -11.5%
  • Max Historical Gain (14d): +45.9%
  • Max Historical Loss (14d): -31.0%