Finance

NSTS Move Probability $14.19 +0.12 (+0.9%)

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)
19.3%
Stock touched +5.0% ($14.89) at least once during 14 trading days.
Median first touch: Day 7 of 14
Expiration Close Probability
17.0%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.13x
You are 1.1x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±4.1%
$13.60 — $14.77

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 493 historical windows (2024-09-23 to 2026-09-30). The colored bar indicates the win zone for +5.0%.

-8.5% to -7.0%: 16 occurrences (3.2%) -7.7% -7.0% to -5.6%: 9 occurrences (1.8%) -5.6% to -4.2%: 8 occurrences (1.6%) -4.2% to -2.8%: 41 occurrences (8.3%) -3.5% -2.8% to -1.3%: 39 occurrences (7.9%) -1.3% to +0.1%: 108 occurrences (21.9%) +0.1% to +1.5%: 143 occurrences (29.0%) 0.8% +1.5% to +2.9%: 30 occurrences (6.1%) +2.9% to +4.4%: 13 occurrences (2.6%) +4.4% to +5.8%: 5 occurrences (1.0%) 5.1% +5.8% to +7.2%: 45 occurrences (9.1%) +7.2% to +8.6%: 2 occurrences (0.4%) +8.6% to +10.1%: 16 occurrences (3.2%) 9.4% +10.1% to +11.5%: 0 occurrences (0.0%) +11.5% to +12.9%: 4 occurrences (0.8%) +12.9% to +14.3%: 14 occurrences (2.8%) 13.6%
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) 19.3% 17.0% Model-free reality across 493 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 0.0% Adjusts normal bell curve for real-world skewness (4.15) and kurtosis (51.64).
Standard Normal (Black-Scholes / GBM) 23.8% 11.9% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 26.0% 26.0% Filters for historical windows that started with volatility similar to current 20-day HV (50 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 17.6%
  • Recent 20-Day HV: 4.4%
  • Parkinson Intraday Volatility: 2.6%
  • Vol Trend: Compressed (-75% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.3%
  • Top 10% Move (90th percentile): +6.6%
  • Bottom 10% Move (10th percentile): -3.7%
  • Max Historical Gain (14d): +14.3%
  • Max Historical Loss (14d): -8.5%