Finance

NNI Move Probability $125.55 -1.00 (-0.8%)

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)
27.8%
Stock touched +5.0% ($131.82) at least once during 14 trading days.
Median first touch: Day 8 of 14
Expiration Close Probability
14.0%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.99x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±6.0%
$117.98 — $133.11

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%.

-12.7% to -11.1%: 7 occurrences (1.4%) -11.9% -11.1% to -9.6%: 5 occurrences (1.0%) -9.6% to -8.0%: 9 occurrences (1.8%) -8.0% to -6.4%: 13 occurrences (2.6%) -7.2% -6.4% to -4.8%: 22 occurrences (4.3%) -4.8% to -3.2%: 24 occurrences (4.7%) -3.2% to -1.6%: 55 occurrences (10.8%) -2.4% -1.6% to -0.0%: 93 occurrences (18.3%) -0.0% to +1.5%: 86 occurrences (16.9%) +1.5% to +3.1%: 63 occurrences (12.4%) 2.3% +3.1% to +4.7%: 55 occurrences (10.8%) +4.7% to +6.3%: 28 occurrences (5.5%) +6.3% to +7.9%: 26 occurrences (5.1%) 7.1% +7.9% to +9.5%: 11 occurrences (2.2%) +9.5% to +11.1%: 6 occurrences (1.2%) +11.1% to +12.7%: 5 occurrences (1.0%) 11.9%
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) 27.8% 14.0% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 1.0% Adjusts normal bell curve for real-world skewness (-0.94) and kurtosis (20.79).
Standard Normal (Black-Scholes / GBM) 41.8% 20.9% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 28.4% 11.5% Filters for historical windows that started with volatility similar to current 20-day HV (278 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 25.6%
  • Recent 20-Day HV: 16.0%
  • Parkinson Intraday Volatility: 10.8%
  • Vol Trend: Compressed (-37% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.4%
  • Top 10% Move (90th percentile): +5.9%
  • Bottom 10% Move (10th percentile): -5.0%
  • Max Historical Gain (14d): +12.7%
  • Max Historical Loss (14d): -12.7%