Finance

NKX Move Probability $10.75 -0.04 (-0.4%)

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)
5.5%
Stock touched +5.0% ($11.29) at least once during 14 trading days.
Median first touch: Day 10 of 14
Expiration Close Probability
2.4%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.33x
You are 2.3x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±2.5%
$10.48 — $11.02

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%.

-10.3% to -9.2%: 5 occurrences (1.0%) -9.8% -9.2% to -8.1%: 4 occurrences (0.8%) -8.1% to -7.0%: 7 occurrences (1.4%) -7.0% to -5.9%: 14 occurrences (2.8%) -6.4% -5.9% to -4.8%: 14 occurrences (2.8%) -4.8% to -3.6%: 20 occurrences (3.9%) -3.6% to -2.5%: 24 occurrences (4.7%) -3.1% -2.5% to -1.4%: 56 occurrences (11.0%) -1.4% to -0.3%: 92 occurrences (18.1%) -0.3% to +0.8%: 73 occurrences (14.4%) 0.2% +0.8% to +1.9%: 77 occurrences (15.2%) +1.9% to +3.0%: 71 occurrences (14.0%) +3.0% to +4.1%: 29 occurrences (5.7%) 3.6% +4.1% to +5.2%: 11 occurrences (2.2%) +5.2% to +6.4%: 5 occurrences (1.0%) +6.4% to +7.5%: 6 occurrences (1.2%) 6.9%
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) 5.5% 2.4% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 2.9% Adjusts normal bell curve for real-world skewness (-0.25) and kurtosis (2.73).
Standard Normal (Black-Scholes / GBM) 5.5% 2.7% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 2.4% 0.0% Filters for historical windows that started with volatility similar to current 20-day HV (85 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 10.8%
  • Recent 20-Day HV: 19.1%
  • Parkinson Intraday Volatility: 7.1%
  • Vol Trend: Expanded (+77% vs baseline)

14-Day Return Quantiles

  • Median Return: -0.1%
  • Top 10% Move (90th percentile): +3.0%
  • Bottom 10% Move (10th percentile): -4.2%
  • Max Historical Gain (14d): +7.5%
  • Max Historical Loss (14d): -10.3%