Finance

NGL Move Probability $15.48 -0.01 (-0.1%)

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)
64.4%
Stock touched +5.0% ($16.25) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
40.4%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.60x
You are 1.6x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±12.7%
$13.51 — $17.45

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%.

-40.0% to -33.7%: 8 occurrences (1.6%) -36.8% -33.7% to -27.4%: 5 occurrences (1.0%) -27.4% to -21.2%: 1 occurrences (0.2%) -21.2% to -14.9%: 14 occurrences (2.8%) -18.0% -14.9% to -8.6%: 29 occurrences (5.7%) -8.6% to -2.4%: 92 occurrences (18.1%) -2.4% to +3.9%: 121 occurrences (23.8%) 0.7% +3.9% to +10.1%: 93 occurrences (18.3%) +10.1% to +16.4%: 72 occurrences (14.2%) +16.4% to +22.7%: 36 occurrences (7.1%) 19.5% +22.7% to +28.9%: 13 occurrences (2.6%) +28.9% to +35.2%: 7 occurrences (1.4%) +35.2% to +41.4%: 3 occurrences (0.6%) 38.3% +41.4% to +47.7%: 3 occurrences (0.6%) +47.7% to +54.0%: 6 occurrences (1.2%) +54.0% to +60.2%: 5 occurrences (1.0%) 57.1%
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) 64.4% 40.4% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 21.3% Adjusts normal bell curve for real-world skewness (-0.24) and kurtosis (9.87).
Standard Normal (Black-Scholes / GBM) 70.2% 35.1% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 64.6% 41.1% Filters for historical windows that started with volatility similar to current 20-day HV (319 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 54.0%
  • Recent 20-Day HV: 38.7%
  • Parkinson Intraday Volatility: 41.2%
  • Vol Trend: Compressed (-28% vs baseline)

14-Day Return Quantiles

  • Median Return: +3.0%
  • Top 10% Move (90th percentile): +20.0%
  • Bottom 10% Move (10th percentile): -9.5%
  • Max Historical Gain (14d): +60.2%
  • Max Historical Loss (14d): -40.0%