Finance

NMAD Move Probability $3.53 -0.19 (-5.1%)

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)
73.8%
Stock touched +5.0% ($3.71) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
37.8%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.95x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±27.6%
$2.55 — $4.51

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%.

-51.5% to -19.5%: 61 occurrences (12.0%) -35.5% -19.5% to +12.5%: 311 occurrences (61.2%) +12.5% to +44.4%: 105 occurrences (20.7%) +44.4% to +76.4%: 16 occurrences (3.1%) 60.4% +76.4% to +108.4%: 3 occurrences (0.6%) +108.4% to +140.3%: 2 occurrences (0.4%) +140.3% to +172.3%: 1 occurrences (0.2%) 156.3% +172.3% to +204.3%: 0 occurrences (0.0%) +204.3% to +236.2%: 0 occurrences (0.0%) +236.2% to +268.2%: 1 occurrences (0.2%) 252.2% +268.2% to +300.2%: 0 occurrences (0.0%) +300.2% to +332.1%: 2 occurrences (0.4%) +332.1% to +364.1%: 2 occurrences (0.4%) 348.1% +364.1% to +396.1%: 1 occurrences (0.2%) +396.1% to +428.0%: 1 occurrences (0.2%) +428.0% to +460.0%: 2 occurrences (0.4%) 444.0%
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) 73.8% 37.8% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 28.6% Adjusts normal bell curve for real-world skewness (1.24) and kurtosis (10.32).
Standard Normal (Black-Scholes / GBM) 86.0% 43.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 70.4% 30.3% Filters for historical windows that started with volatility similar to current 20-day HV (294 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 117.2%
  • Recent 20-Day HV: 77.2%
  • Parkinson Intraday Volatility: 82.4%
  • Vol Trend: Compressed (-34% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.0%
  • Top 10% Move (90th percentile): +34.5%
  • Bottom 10% Move (10th percentile): -22.4%
  • Max Historical Gain (14d): +460.0%
  • Max Historical Loss (14d): -51.5%