Finance

NMM Move Probability $88.19 +1.28 (+1.5%)

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)
60.8%
Stock touched +5.0% ($92.59) at least once during 14 trading days.
Median first touch: Day 6 of 14
Expiration Close Probability
37.4%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.63x
You are 1.6x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±8.2%
$80.97 — $95.40

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%.

-26.2% to -23.2%: 2 occurrences (0.4%) -24.7% -23.2% to -20.2%: 4 occurrences (0.8%) -20.2% to -17.3%: 5 occurrences (1.0%) -17.3% to -14.3%: 4 occurrences (0.8%) -15.8% -14.3% to -11.4%: 14 occurrences (2.8%) -11.4% to -8.4%: 38 occurrences (7.5%) -8.4% to -5.5%: 42 occurrences (8.3%) -7.0% -5.5% to -2.5%: 46 occurrences (9.1%) -2.5% to +0.4%: 66 occurrences (13.0%) +0.4% to +3.4%: 60 occurrences (11.8%) 1.9% +3.4% to +6.3%: 75 occurrences (14.8%) +6.3% to +9.3%: 65 occurrences (12.8%) +9.3% to +12.2%: 49 occurrences (9.6%) 10.7% +12.2% to +15.2%: 23 occurrences (4.5%) +15.2% to +18.1%: 8 occurrences (1.6%) +18.1% to +21.1%: 7 occurrences (1.4%) 19.6%
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) 60.8% 37.4% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 22.5% Adjusts normal bell curve for real-world skewness (-0.42) and kurtosis (3.28).
Standard Normal (Black-Scholes / GBM) 55.1% 27.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 62.6% 37.6% Filters for historical windows that started with volatility similar to current 20-day HV (423 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 34.7%
  • Recent 20-Day HV: 31.9%
  • Parkinson Intraday Volatility: 20.6%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: +2.1%
  • Top 10% Move (90th percentile): +11.2%
  • Bottom 10% Move (10th percentile): -9.3%
  • Max Historical Gain (14d): +21.1%
  • Max Historical Loss (14d): -26.2%