Finance

NWL Move Probability $5.96 +0.77 (+14.9%)

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)
66.5%
Stock touched +5.0% ($6.26) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
36.2%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.84x
You are 1.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±15.0%
$5.07 — $6.86

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 508 historical windows (2024-10-03 to 2026-11-02). The colored bar indicates the win zone for +5.0%.

-35.7% to -29.8%: 26 occurrences (5.1%) -32.8% -29.8% to -23.9%: 12 occurrences (2.4%) -23.9% to -18.0%: 22 occurrences (4.3%) -18.0% to -12.0%: 32 occurrences (6.3%) -15.0% -12.0% to -6.1%: 56 occurrences (11.0%) -6.1% to -0.2%: 101 occurrences (19.9%) -0.2% to +5.7%: 83 occurrences (16.3%) 2.8% +5.7% to +11.7%: 64 occurrences (12.6%) +11.7% to +17.6%: 52 occurrences (10.2%) +17.6% to +23.5%: 30 occurrences (5.9%) 20.5% +23.5% to +29.4%: 11 occurrences (2.2%) +29.4% to +35.4%: 9 occurrences (1.8%) +35.4% to +41.3%: 2 occurrences (0.4%) 38.3% +41.3% to +47.2%: 3 occurrences (0.6%) +47.2% to +53.1%: 1 occurrences (0.2%) +53.1% to +59.0%: 4 occurrences (0.8%) 56.1%
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) 66.5% 36.2% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 25.6% Adjusts normal bell curve for real-world skewness (-1.4) and kurtosis (16.01).
Standard Normal (Black-Scholes / GBM) 74.5% 37.3% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 67.4% 37.4% Filters for historical windows that started with volatility similar to current 20-day HV (273 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 63.8%
  • Recent 20-Day HV: 65.8%
  • Parkinson Intraday Volatility: 48.4%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: +1.0%
  • Top 10% Move (90th percentile): +19.1%
  • Bottom 10% Move (10th percentile): -20.2%
  • Max Historical Gain (14d): +59.0%
  • Max Historical Loss (14d): -35.7%