Finance

NL Move Probability $6.59 -0.09 (-1.3%)

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)
46.3%
Stock touched +5.0% ($6.92) at least once during 14 trading days.
Median first touch: Day 5 of 14
Expiration Close Probability
23.8%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.94x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±11.5%
$5.83 — $7.35

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%.

-29.1% to -24.6%: 1 occurrences (0.2%) -26.8% -24.6% to -20.1%: 2 occurrences (0.4%) -20.1% to -15.7%: 4 occurrences (0.8%) -15.7% to -11.2%: 20 occurrences (3.9%) -13.4% -11.2% to -6.7%: 47 occurrences (9.3%) -6.7% to -2.2%: 112 occurrences (22.0%) -2.2% to +2.3%: 147 occurrences (28.9%) 0.0% +2.3% to +6.7%: 79 occurrences (15.6%) +6.7% to +11.2%: 50 occurrences (9.8%) +11.2% to +15.7%: 29 occurrences (5.7%) 13.5% +15.7% to +20.2%: 9 occurrences (1.8%) +20.2% to +24.6%: 5 occurrences (1.0%) +24.6% to +29.1%: 0 occurrences (0.0%) 26.9% +29.1% to +33.6%: 1 occurrences (0.2%) +33.6% to +38.1%: 1 occurrences (0.2%) +38.1% to +42.6%: 1 occurrences (0.2%) 40.3%
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) 46.3% 23.8% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 22.1% Adjusts normal bell curve for real-world skewness (-0.08) and kurtosis (7.15).
Standard Normal (Black-Scholes / GBM) 67.2% 33.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 73.3% 33.3% Filters for historical windows that started with volatility similar to current 20-day HV (15 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 48.9%
  • Recent 20-Day HV: 17.8%
  • Parkinson Intraday Volatility: 26.4%
  • Vol Trend: Compressed (-64% vs baseline)

14-Day Return Quantiles

  • Median Return: -0.3%
  • Top 10% Move (90th percentile): +10.5%
  • Bottom 10% Move (10th percentile): -9.0%
  • Max Historical Gain (14d): +42.6%
  • Max Historical Loss (14d): -29.1%