Finance

NODK Move Probability $14.59 -0.17 (-1.2%)

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)
22.6%
Stock touched +5.0% ($15.32) at least once during 14 trading days.
Median first touch: Day 7 of 14
Expiration Close Probability
11.6%
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%)
±5.5%
$13.79 — $15.39

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%.

-10.8% to -9.3%: 4 occurrences (0.8%) -10.0% -9.3% to -7.7%: 10 occurrences (2.0%) -7.7% to -6.2%: 24 occurrences (4.7%) -6.2% to -4.7%: 27 occurrences (5.3%) -5.5% -4.7% to -3.2%: 40 occurrences (7.9%) -3.2% to -1.7%: 63 occurrences (12.4%) -1.7% to -0.2%: 88 occurrences (17.3%) -1.0% -0.2% to +1.3%: 85 occurrences (16.7%) +1.3% to +2.8%: 50 occurrences (9.8%) +2.8% to +4.3%: 42 occurrences (8.3%) 3.5% +4.3% to +5.8%: 28 occurrences (5.5%) +5.8% to +7.3%: 17 occurrences (3.3%) +7.3% to +8.8%: 17 occurrences (3.3%) 8.0% +8.8% to +10.3%: 4 occurrences (0.8%) +10.3% to +11.8%: 4 occurrences (0.8%) +11.8% to +13.3%: 5 occurrences (1.0%) 12.5%
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) 22.6% 11.6% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 11.1% Adjusts normal bell curve for real-world skewness (-0.07) and kurtosis (4.02).
Standard Normal (Black-Scholes / GBM) 37.1% 18.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 14.5% 14.5% Filters for historical windows that started with volatility similar to current 20-day HV (62 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 23.1%
  • Recent 20-Day HV: 11.5%
  • Parkinson Intraday Volatility: 7.3%
  • Vol Trend: Compressed (-50% vs baseline)

14-Day Return Quantiles

  • Median Return: -0.3%
  • Top 10% Move (90th percentile): +5.4%
  • Bottom 10% Move (10th percentile): -5.5%
  • Max Historical Gain (14d): +13.3%
  • Max Historical Loss (14d): -10.8%