Finance

NPCE Move Probability $13.04 -0.46 (-3.4%)

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)
70.5%
Stock touched +5.0% ($13.69) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
35.4%
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%)
±15.7%
$10.99 — $15.09

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%.

-37.6% to -30.6%: 3 occurrences (0.6%) -34.1% -30.6% to -23.7%: 5 occurrences (1.0%) -23.7% to -16.8%: 21 occurrences (4.1%) -16.8% to -9.8%: 58 occurrences (11.4%) -13.3% -9.8% to -2.9%: 125 occurrences (24.6%) -2.9% to +4.0%: 104 occurrences (20.5%) +4.0% to +11.0%: 67 occurrences (13.2%) 7.5% +11.0% to +17.9%: 43 occurrences (8.5%) +17.9% to +24.8%: 40 occurrences (7.9%) +24.8% to +31.8%: 17 occurrences (3.3%) 28.3% +31.8% to +38.7%: 5 occurrences (1.0%) +38.7% to +45.7%: 5 occurrences (1.0%) +45.7% to +52.6%: 7 occurrences (1.4%) 49.1% +52.6% to +59.5%: 6 occurrences (1.2%) +59.5% to +66.5%: 1 occurrences (0.2%) +66.5% to +73.4%: 1 occurrences (0.2%) 69.9%
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) 70.5% 35.4% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 15.1% Adjusts normal bell curve for real-world skewness (0.53) and kurtosis (17.41).
Standard Normal (Black-Scholes / GBM) 75.7% 37.8% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 69.2% 32.6% Filters for historical windows that started with volatility similar to current 20-day HV (325 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 66.8%
  • Recent 20-Day HV: 49.3%
  • Parkinson Intraday Volatility: 48.9%
  • Vol Trend: Compressed (-26% vs baseline)

14-Day Return Quantiles

  • Median Return: -0.3%
  • Top 10% Move (90th percentile): +22.8%
  • Bottom 10% Move (10th percentile): -13.5%
  • Max Historical Gain (14d): +73.4%
  • Max Historical Loss (14d): -37.6%