Finance

NGNE Move Probability $26.14 +0.74 (+2.9%)

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)
76.6%
Stock touched +5.0% ($27.44) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
38.2%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.01x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±26.7%
$19.17 — $33.10

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%.

-69.3% to -58.8%: 8 occurrences (1.6%) -64.0% -58.8% to -48.4%: 4 occurrences (0.8%) -48.4% to -37.9%: 8 occurrences (1.6%) -37.9% to -27.4%: 26 occurrences (5.1%) -32.7% -27.4% to -17.0%: 45 occurrences (8.9%) -17.0% to -6.5%: 103 occurrences (20.3%) -6.5% to +3.9%: 113 occurrences (22.2%) -1.3% +3.9% to +14.4%: 62 occurrences (12.2%) +14.4% to +24.8%: 60 occurrences (11.8%) +24.8% to +35.3%: 39 occurrences (7.7%) 30.0% +35.3% to +45.7%: 20 occurrences (3.9%) +45.7% to +56.2%: 4 occurrences (0.8%) +56.2% to +66.6%: 4 occurrences (0.8%) 61.4% +66.6% to +77.1%: 4 occurrences (0.8%) +77.1% to +87.5%: 4 occurrences (0.8%) +87.5% to +98.0%: 4 occurrences (0.8%) 92.8%
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) 76.6% 38.2% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 38.1% Adjusts normal bell curve for real-world skewness (-1.39) and kurtosis (17.4).
Standard Normal (Black-Scholes / GBM) 85.5% 42.7% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 73.4% 35.9% Filters for historical windows that started with volatility similar to current 20-day HV (320 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 113.1%
  • Recent 20-Day HV: 82.2%
  • Parkinson Intraday Volatility: 72.3%
  • Vol Trend: Compressed (-27% vs baseline)

14-Day Return Quantiles

  • Median Return: -1.4%
  • Top 10% Move (90th percentile): +30.9%
  • Bottom 10% Move (10th percentile): -25.9%
  • Max Historical Gain (14d): +98.0%
  • Max Historical Loss (14d): -69.3%