Finance

NKTR Move Probability $38.27 -0.82 (-2.1%)

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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Touch Probability (First Passage)
71.7%
Stock touched +5.0% ($40.18) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
35.2%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.03x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±25.6%
$28.49 — $48.05

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%.

-44.3% to -29.4%: 23 occurrences (4.5%) -36.9% -29.4% to -14.6%: 97 occurrences (19.1%) -14.6% to +0.3%: 150 occurrences (29.5%) +0.3% to +15.1%: 136 occurrences (26.8%) 7.7% +15.1% to +30.0%: 48 occurrences (9.4%) +30.0% to +44.9%: 7 occurrences (1.4%) +44.9% to +59.7%: 7 occurrences (1.4%) 52.3% +59.7% to +74.6%: 5 occurrences (1.0%) +74.6% to +89.4%: 11 occurrences (2.2%) +89.4% to +104.3%: 8 occurrences (1.6%) 96.9% +104.3% to +119.2%: 4 occurrences (0.8%) +119.2% to +134.0%: 0 occurrences (0.0%) +134.0% to +148.9%: 1 occurrences (0.2%) 141.4% +148.9% to +163.7%: 3 occurrences (0.6%) +163.7% to +178.6%: 3 occurrences (0.6%) +178.6% to +193.5%: 5 occurrences (1.0%) 186.0%
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) 71.7% 35.2% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 2.6% Adjusts normal bell curve for real-world skewness (5.66) and kurtosis (71.48).
Standard Normal (Black-Scholes / GBM) 84.9% 42.4% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 65.1% 26.6% Filters for historical windows that started with volatility similar to current 20-day HV (218 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 108.5%
  • Recent 20-Day HV: 105.8%
  • Parkinson Intraday Volatility: 73.9%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: -1.0%
  • Top 10% Move (90th percentile): +34.1%
  • Bottom 10% Move (10th percentile): -21.6%
  • Max Historical Gain (14d): +193.5%
  • Max Historical Loss (14d): -44.3%