Finance

NTLA Move Probability $11.64 -0.20 (-1.6%)

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)
77.4%
Stock touched +5.0% ($12.22) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
38.4%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.02x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±21.8%
$9.11 — $14.17

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%.

-66.1% to -57.1%: 5 occurrences (1.0%) -61.6% -57.1% to -48.0%: 4 occurrences (0.8%) -48.0% to -38.9%: 7 occurrences (1.4%) -38.9% to -29.9%: 18 occurrences (3.5%) -34.4% -29.9% to -20.8%: 27 occurrences (5.3%) -20.8% to -11.8%: 66 occurrences (13.0%) -11.8% to -2.7%: 105 occurrences (20.7%) -7.2% -2.7% to +6.4%: 89 occurrences (17.5%) +6.4% to +15.4%: 78 occurrences (15.4%) +15.4% to +24.5%: 40 occurrences (7.9%) 19.9% +24.5% to +33.5%: 32 occurrences (6.3%) +33.5% to +42.6%: 15 occurrences (3.0%) +42.6% to +51.6%: 6 occurrences (1.2%) 47.1% +51.6% to +60.7%: 8 occurrences (1.6%) +60.7% to +69.8%: 5 occurrences (1.0%) +69.8% to +78.8%: 3 occurrences (0.6%) 74.3%
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) 77.4% 38.4% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 37.0% Adjusts normal bell curve for real-world skewness (-1.69) and kurtosis (16.7).
Standard Normal (Black-Scholes / GBM) 82.3% 41.1% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 79.6% 42.2% Filters for historical windows that started with volatility similar to current 20-day HV (211 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 92.3%
  • Recent 20-Day HV: 57.0%
  • Parkinson Intraday Volatility: 69.9%
  • Vol Trend: Compressed (-38% vs baseline)

14-Day Return Quantiles

  • Median Return: -1.0%
  • Top 10% Move (90th percentile): +28.7%
  • Bottom 10% Move (10th percentile): -22.4%
  • Max Historical Gain (14d): +78.8%
  • Max Historical Loss (14d): -66.1%