Finance

NSTM Move Probability $0.01 +0.00 (+0.0%)

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)
23.6%
Stock touched +5.0% ($0.01) at least once during 14 trading days.
Median first touch: Day 5 of 14
Expiration Close Probability
8.6%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.74x
You are 2.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±59.5%
$0.00 — $0.02

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%.

-75.0% to -51.6%: 10 occurrences (2.1%) -63.3% -51.6% to -28.1%: 49 occurrences (10.1%) -28.1% to -4.7%: 5 occurrences (1.0%) -4.7% to +18.8%: 381 occurrences (78.2%) 7.0% +18.8% to +42.2%: 0 occurrences (0.0%) +42.2% to +65.6%: 16 occurrences (3.3%) +65.6% to +89.1%: 0 occurrences (0.0%) 77.3% +89.1% to +112.5%: 17 occurrences (3.5%) +112.5% to +135.9%: 0 occurrences (0.0%) +135.9% to +159.4%: 0 occurrences (0.0%) 147.7% +159.4% to +182.8%: 0 occurrences (0.0%) +182.8% to +206.2%: 6 occurrences (1.2%) +206.2% to +229.7%: 0 occurrences (0.0%) 218.0% +229.7% to +253.1%: 0 occurrences (0.0%) +253.1% to +276.6%: 0 occurrences (0.0%) +276.6% to +300.0%: 3 occurrences (0.6%) 288.3%
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) 23.6% 8.6% Model-free reality across 487 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 46.9% Adjusts normal bell curve for real-world skewness (-1.73) and kurtosis (30.89).
Standard Normal (Black-Scholes / GBM) 93.5% 46.7% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 26.0% 6.4% Filters for historical windows that started with volatility similar to current 20-day HV (281 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 252.6%
  • Recent 20-Day HV: 0.0%
  • Parkinson Intraday Volatility: 110.7%
  • Vol Trend: Compressed (-100% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.0%
  • Top 10% Move (90th percentile): +0.0%
  • Bottom 10% Move (10th percentile): -33.3%
  • Max Historical Gain (14d): +300.0%
  • Max Historical Loss (14d): -75.0%