Finance

NTRA Move Probability $413.38 +7.46 (+1.8%)

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)
69.2%
Stock touched +5.0% ($434.05) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
41.7%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.66x
You are 1.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±11.0%
$367.73 — $459.03

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%.

-21.7% to -17.9%: 4 occurrences (0.8%) -19.8% -17.9% to -14.1%: 11 occurrences (2.3%) -14.1% to -10.4%: 19 occurrences (3.9%) -10.4% to -6.6%: 31 occurrences (6.4%) -8.5% -6.6% to -2.8%: 68 occurrences (14.0%) -2.8% to +1.0%: 75 occurrences (15.4%) +1.0% to +4.8%: 73 occurrences (15.0%) 2.9% +4.8% to +8.5%: 69 occurrences (14.2%) +8.5% to +12.3%: 39 occurrences (8.0%) +12.3% to +16.1%: 28 occurrences (5.7%) 14.2% +16.1% to +19.9%: 21 occurrences (4.3%) +19.9% to +23.7%: 22 occurrences (4.5%) +23.7% to +27.4%: 13 occurrences (2.7%) 25.6% +27.4% to +31.2%: 7 occurrences (1.4%) +31.2% to +35.0%: 3 occurrences (0.6%) +35.0% to +38.8%: 4 occurrences (0.8%) 36.9%
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) 69.2% 41.7% Model-free reality across 487 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 19.4% Adjusts normal bell curve for real-world skewness (0.79) and kurtosis (6.8).
Standard Normal (Black-Scholes / GBM) 65.9% 32.9% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 65.3% 42.9% Filters for historical windows that started with volatility similar to current 20-day HV (331 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 46.9%
  • Recent 20-Day HV: 37.2%
  • Parkinson Intraday Volatility: 42.3%
  • Vol Trend: Compressed (-21% vs baseline)

14-Day Return Quantiles

  • Median Return: +2.7%
  • Top 10% Move (90th percentile): +19.7%
  • Bottom 10% Move (10th percentile): -8.5%
  • Max Historical Gain (14d): +38.8%
  • Max Historical Loss (14d): -21.7%