Finance

NLCP Move Probability $13.74 +0.48 (+3.6%)

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)
27.3%
Stock touched +5.0% ($14.43) at least once during 14 trading days.
Median first touch: Day 5 of 14
Expiration Close Probability
11.7%
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%)
±5.8%
$12.95 — $14.53

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 487 historical windows (2024-10-22 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-16.2% to -13.5%: 5 occurrences (1.0%) -14.9% -13.5% to -10.9%: 11 occurrences (2.3%) -10.9% to -8.2%: 19 occurrences (3.9%) -8.2% to -5.6%: 46 occurrences (9.4%) -6.9% -5.6% to -2.9%: 90 occurrences (18.5%) -2.9% to -0.3%: 99 occurrences (20.3%) -0.3% to +2.4%: 105 occurrences (21.6%) 1.0% +2.4% to +5.0%: 56 occurrences (11.5%) +5.0% to +7.7%: 26 occurrences (5.3%) +7.7% to +10.3%: 12 occurrences (2.5%) 9.0% +10.3% to +13.0%: 6 occurrences (1.2%) +13.0% to +15.6%: 4 occurrences (0.8%) +15.6% to +18.3%: 1 occurrences (0.2%) 17.0% +18.3% to +20.9%: 2 occurrences (0.4%) +20.9% to +23.6%: 1 occurrences (0.2%) +23.6% to +26.2%: 4 occurrences (0.8%) 24.9%
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) 27.3% 11.7% Model-free reality across 487 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 10.5% Adjusts normal bell curve for real-world skewness (0.05) and kurtosis (5.01).
Standard Normal (Black-Scholes / GBM) 39.7% 19.9% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 28.0% 11.4% Filters for historical windows that started with volatility similar to current 20-day HV (350 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 24.5%
  • Recent 20-Day HV: 25.2%
  • Parkinson Intraday Volatility: 26.9%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: -1.0%
  • Top 10% Move (90th percentile): +5.6%
  • Bottom 10% Move (10th percentile): -7.6%
  • Max Historical Gain (14d): +26.2%
  • Max Historical Loss (14d): -16.2%