Finance

NN Move Probability $9.58 -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)
70.9%
Stock touched +5.0% ($10.06) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
39.6%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.79x
You are 1.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±16.9%
$7.96 — $11.20

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%.

-33.1% to -27.1%: 10 occurrences (2.0%) -30.1% -27.1% to -21.0%: 19 occurrences (3.7%) -21.0% to -14.9%: 49 occurrences (9.6%) -14.9% to -8.9%: 59 occurrences (11.6%) -11.9% -8.9% to -2.8%: 87 occurrences (17.1%) -2.8% to +3.2%: 74 occurrences (14.6%) +3.2% to +9.3%: 45 occurrences (8.9%) 6.3% +9.3% to +15.4%: 53 occurrences (10.4%) +15.4% to +21.4%: 40 occurrences (7.9%) +21.4% to +27.5%: 30 occurrences (5.9%) 24.5% +27.5% to +33.6%: 12 occurrences (2.4%) +33.6% to +39.6%: 10 occurrences (2.0%) +39.6% to +45.7%: 2 occurrences (0.4%) 42.6% +45.7% to +51.7%: 7 occurrences (1.4%) +51.7% to +57.8%: 7 occurrences (1.4%) +57.8% to +63.9%: 4 occurrences (0.8%) 60.8%
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) 70.9% 39.6% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 33.9% Adjusts normal bell curve for real-world skewness (-0.23) and kurtosis (4.63).
Standard Normal (Black-Scholes / GBM) 77.3% 38.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 69.3% 41.3% Filters for historical windows that started with volatility similar to current 20-day HV (322 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 71.7%
  • Recent 20-Day HV: 63.7%
  • Parkinson Intraday Volatility: 67.5%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: -0.8%
  • Top 10% Move (90th percentile): +26.4%
  • Bottom 10% Move (10th percentile): -17.3%
  • Max Historical Gain (14d): +63.9%
  • Max Historical Loss (14d): -33.1%