Finance

NRP Move Probability $115.00 +0.19 (+0.2%)

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)
30.5%
Stock touched +5.0% ($120.75) at least once during 14 trading days.
Median first touch: Day 7 of 14
Expiration Close Probability
20.3%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.50x
You are 1.5x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±5.9%
$108.16 — $121.84

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%.

-17.0% to -14.9%: 4 occurrences (0.8%) -15.9% -14.9% to -12.7%: 1 occurrences (0.2%) -12.7% to -10.6%: 6 occurrences (1.2%) -10.6% to -8.5%: 8 occurrences (1.6%) -9.6% -8.5% to -6.4%: 16 occurrences (3.1%) -6.4% to -4.3%: 52 occurrences (10.2%) -4.3% to -2.2%: 60 occurrences (11.8%) -3.2% -2.2% to -0.0%: 90 occurrences (17.7%) -0.0% to +2.1%: 86 occurrences (16.9%) +2.1% to +4.2%: 66 occurrences (13.0%) 3.1% +4.2% to +6.3%: 39 occurrences (7.7%) +6.3% to +8.4%: 34 occurrences (6.7%) +8.4% to +10.5%: 29 occurrences (5.7%) 9.5% +10.5% to +12.7%: 5 occurrences (1.0%) +12.7% to +14.8%: 9 occurrences (1.8%) +14.8% to +16.9%: 3 occurrences (0.6%) 15.8%
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) 30.5% 20.3% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 12.8% Adjusts normal bell curve for real-world skewness (0.39) and kurtosis (3.84).
Standard Normal (Black-Scholes / GBM) 41.2% 20.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 32.6% 27.0% Filters for historical windows that started with volatility similar to current 20-day HV (178 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 25.2%
  • Recent 20-Day HV: 15.2%
  • Parkinson Intraday Volatility: 12.2%
  • Vol Trend: Compressed (-40% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.4%
  • Top 10% Move (90th percentile): +7.9%
  • Bottom 10% Move (10th percentile): -5.5%
  • Max Historical Gain (14d): +16.9%
  • Max Historical Loss (14d): -17.0%