Finance

NSYS Move Probability $10.08 -1.13 (-10.1%)

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)
67.6%
Stock touched +5.0% ($10.58) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
31.2%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.16x
You are 2.2x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±13.8%
$8.69 — $11.47

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%.

-29.6% to -25.0%: 12 occurrences (2.5%) -27.3% -25.0% to -20.3%: 12 occurrences (2.5%) -20.3% to -15.6%: 17 occurrences (3.5%) -15.6% to -10.9%: 29 occurrences (6.0%) -13.2% -10.9% to -6.2%: 57 occurrences (11.7%) -6.2% to -1.5%: 98 occurrences (20.1%) -1.5% to +3.2%: 83 occurrences (17.0%) 0.9% +3.2% to +7.9%: 76 occurrences (15.6%) +7.9% to +12.6%: 39 occurrences (8.0%) +12.6% to +17.3%: 26 occurrences (5.3%) 15.0% +17.3% to +22.0%: 10 occurrences (2.1%) +22.0% to +26.7%: 5 occurrences (1.0%) +26.7% to +31.4%: 6 occurrences (1.2%) 29.1% +31.4% to +36.1%: 4 occurrences (0.8%) +36.1% to +40.8%: 9 occurrences (1.8%) +40.8% to +45.5%: 4 occurrences (0.8%) 43.1%
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) 67.6% 31.2% Model-free reality across 487 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 26.9% Adjusts normal bell curve for real-world skewness (-0.28) and kurtosis (7.26).
Standard Normal (Black-Scholes / GBM) 72.4% 36.2% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 62.5% 33.8% Filters for historical windows that started with volatility similar to current 20-day HV (269 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 58.5%
  • Recent 20-Day HV: 38.8%
  • Parkinson Intraday Volatility: 64.6%
  • Vol Trend: Compressed (-34% vs baseline)

14-Day Return Quantiles

  • Median Return: -0.3%
  • Top 10% Move (90th percentile): +14.6%
  • Bottom 10% Move (10th percentile): -14.3%
  • Max Historical Gain (14d): +45.5%
  • Max Historical Loss (14d): -29.6%