Finance

NRBT Move Probability $0.03 -0.00 (-2.8%)

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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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
52.8%
Stock touched +5.0% ($0.03) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
25.3%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.09x
You are 2.1x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±64.6%
$0.01 — $0.05

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%.

-50.0% to -34.4%: 27 occurrences (5.5%) -42.2% -34.4% to -18.8%: 110 occurrences (22.6%) -18.8% to -3.1%: 22 occurrences (4.5%) -3.1% to +12.5%: 205 occurrences (42.1%) 4.7% +12.5% to +28.1%: 21 occurrences (4.3%) +28.1% to +43.8%: 31 occurrences (6.4%) +43.8% to +59.4%: 61 occurrences (12.5%) 51.6% +59.4% to +75.0%: 5 occurrences (1.0%) +75.0% to +90.6%: 0 occurrences (0.0%) +90.6% to +106.2%: 4 occurrences (0.8%) 98.4% +106.2% to +121.9%: 0 occurrences (0.0%) +121.9% to +137.5%: 0 occurrences (0.0%) +137.5% to +153.1%: 0 occurrences (0.0%) 145.3% +153.1% to +168.8%: 0 occurrences (0.0%) +168.8% to +184.4%: 0 occurrences (0.0%) +184.4% to +200.0%: 1 occurrences (0.2%) 192.2%
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) 52.8% 25.3% Model-free reality across 487 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 44.0% Adjusts normal bell curve for real-world skewness (-0.02) and kurtosis (8.24).
Standard Normal (Black-Scholes / GBM) 94.0% 47.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 53.1% 24.6% Filters for historical windows that started with volatility similar to current 20-day HV (207 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 273.9%
  • Recent 20-Day HV: 361.7%
  • Parkinson Intraday Volatility: 157.0%
  • Vol Trend: Expanded (+32% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.0%
  • Top 10% Move (90th percentile): +50.0%
  • Bottom 10% Move (10th percentile): -33.3%
  • Max Historical Gain (14d): +200.0%
  • Max Historical Loss (14d): -50.0%