Finance

NNUP Move Probability $1.70 +0.00 (+0.0%)

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)
53.0%
Stock touched +5.0% ($1.78) at least once during 14 trading days.
Median first touch: Day 5 of 14
Expiration Close Probability
20.3%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.61x
You are 2.6x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±15.9%
$1.43 — $1.97

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%.

-30.6% to -25.4%: 3 occurrences (0.6%) -28.0% -25.4% to -20.3%: 0 occurrences (0.0%) -20.3% to -15.2%: 3 occurrences (0.6%) -15.2% to -10.0%: 24 occurrences (4.9%) -12.6% -10.0% to -4.9%: 86 occurrences (17.7%) -4.9% to +0.3%: 175 occurrences (35.9%) +0.3% to +5.4%: 104 occurrences (21.4%) 2.8% +5.4% to +10.5%: 58 occurrences (11.9%) +10.5% to +15.7%: 14 occurrences (2.9%) +15.7% to +20.8%: 7 occurrences (1.4%) 18.3% +20.8% to +26.0%: 7 occurrences (1.4%) +26.0% to +31.1%: 5 occurrences (1.0%) +31.1% to +36.2%: 0 occurrences (0.0%) 33.7% +36.2% to +41.4%: 0 occurrences (0.0%) +41.4% to +46.5%: 0 occurrences (0.0%) +46.5% to +51.7%: 1 occurrences (0.2%) 49.1%
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) 53.0% 20.3% Model-free reality across 487 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 12.0% Adjusts normal bell curve for real-world skewness (1.16) and kurtosis (20.09).
Standard Normal (Black-Scholes / GBM) 75.9% 38.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 49.7% 16.6% Filters for historical windows that started with volatility similar to current 20-day HV (151 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 67.5%
  • Recent 20-Day HV: 74.8%
  • Parkinson Intraday Volatility: 38.5%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: +0.0%
  • Top 10% Move (90th percentile): +7.9%
  • Bottom 10% Move (10th percentile): -8.5%
  • Max Historical Gain (14d): +51.7%
  • Max Historical Loss (14d): -30.6%