Finance

NREF Move Probability $15.23 -0.38 (-2.4%)

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)
42.3%
Stock touched +5.0% ($15.99) at least once during 14 trading days.
Median first touch: Day 7 of 14
Expiration Close Probability
21.3%
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%)
±6.6%
$14.23 — $16.23

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%.

-22.9% to -20.3%: 1 occurrences (0.2%) -21.6% -20.3% to -17.8%: 1 occurrences (0.2%) -17.8% to -15.2%: 3 occurrences (0.6%) -15.2% to -12.7%: 3 occurrences (0.6%) -13.9% -12.7% to -10.1%: 3 occurrences (0.6%) -10.1% to -7.5%: 20 occurrences (3.9%) -7.5% to -5.0%: 45 occurrences (8.9%) -6.3% -5.0% to -2.4%: 65 occurrences (12.8%) -2.4% to +0.1%: 91 occurrences (17.9%) +0.1% to +2.7%: 71 occurrences (14.0%) 1.4% +2.7% to +5.3%: 105 occurrences (20.7%) +5.3% to +7.8%: 47 occurrences (9.3%) +7.8% to +10.4%: 27 occurrences (5.3%) 9.1% +10.4% to +12.9%: 16 occurrences (3.1%) +12.9% to +15.5%: 5 occurrences (1.0%) +15.5% to +18.1%: 5 occurrences (1.0%) 16.8%
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) 42.3% 21.3% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 19.3% Adjusts normal bell curve for real-world skewness (-0.36) and kurtosis (2.15).
Standard Normal (Black-Scholes / GBM) 45.9% 22.9% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 40.6% 21.7% Filters for historical windows that started with volatility similar to current 20-day HV (401 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 27.9%
  • Recent 20-Day HV: 26.5%
  • Parkinson Intraday Volatility: 14.6%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: +1.1%
  • Top 10% Move (90th percentile): +8.0%
  • Bottom 10% Move (10th percentile): -6.2%
  • Max Historical Gain (14d): +18.1%
  • Max Historical Loss (14d): -22.9%