Finance

NOEM Move Probability $10.66 -1.04 (-8.9%)

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)
3.3%
Stock touched +5.0% ($11.19) at least once during 14 trading days.
Median first touch: Day 8 of 14
Expiration Close Probability
3.3%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.00x
You are 1.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±2.7%
$10.37 — $10.95

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 428 historical windows (2025-01-17 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-8.9% to -7.6%: 14 occurrences (3.3%) -8.2% -7.6% to -6.3%: 0 occurrences (0.0%) -6.3% to -4.9%: 0 occurrences (0.0%) -4.9% to -3.6%: 0 occurrences (0.0%) -4.3% -3.6% to -2.3%: 0 occurrences (0.0%) -2.3% to -1.0%: 0 occurrences (0.0%) -1.0% to +0.3%: 314 occurrences (73.4%) -0.3% +0.3% to +1.6%: 71 occurrences (16.6%) +1.6% to +3.0%: 15 occurrences (3.5%) +3.0% to +4.3%: 0 occurrences (0.0%) 3.6% +4.3% to +5.6%: 0 occurrences (0.0%) +5.6% to +6.9%: 0 occurrences (0.0%) +6.9% to +8.2%: 0 occurrences (0.0%) 7.6% +8.2% to +9.5%: 0 occurrences (0.0%) +9.5% to +10.9%: 0 occurrences (0.0%) +10.9% to +12.2%: 14 occurrences (3.3%) 11.5%
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) 3.3% 3.3% Model-free reality across 428 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 100.0% Adjusts normal bell curve for real-world skewness (4.36) and kurtosis (211.31).
Standard Normal (Black-Scholes / GBM) 6.9% 3.4% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 2.8% 2.8% Filters for historical windows that started with volatility similar to current 20-day HV (214 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 11.4%
  • Recent 20-Day HV: 0.0%
  • Parkinson Intraday Volatility: 4.8%
  • Vol Trend: Compressed (-100% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.0%
  • Top 10% Move (90th percentile): +0.7%
  • Bottom 10% Move (10th percentile): +0.0%
  • Max Historical Gain (14d): +12.2%
  • Max Historical Loss (14d): -8.9%