Finance

NWSA Move Probability $30.43 -0.21 (-0.7%)

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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Touch Probability (First Passage)
35.8%
Stock touched +5.0% ($31.95) at least once during 14 trading days.
Median first touch: Day 7 of 14
Expiration Close Probability
19.5%
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%)
±5.8%
$28.68 — $32.18

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%.

-16.6% to -14.6%: 6 occurrences (1.2%) -15.6% -14.6% to -12.7%: 7 occurrences (1.4%) -12.7% to -10.7%: 8 occurrences (1.6%) -10.7% to -8.8%: 7 occurrences (1.4%) -9.8% -8.8% to -6.8%: 12 occurrences (2.4%) -6.8% to -4.9%: 25 occurrences (4.9%) -4.9% to -2.9%: 39 occurrences (7.7%) -3.9% -2.9% to -1.0%: 76 occurrences (15.0%) -1.0% to +1.0%: 81 occurrences (15.9%) +1.0% to +2.9%: 85 occurrences (16.7%) 1.9% +2.9% to +4.9%: 61 occurrences (12.0%) +4.9% to +6.8%: 49 occurrences (9.6%) +6.8% to +8.7%: 30 occurrences (5.9%) 7.8% +8.7% to +10.7%: 8 occurrences (1.6%) +10.7% to +12.6%: 11 occurrences (2.2%) +12.6% to +14.6%: 3 occurrences (0.6%) 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) 35.8% 19.5% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 11.6% Adjusts normal bell curve for real-world skewness (-0.13) and kurtosis (4.39).
Standard Normal (Black-Scholes / GBM) 39.6% 19.8% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 29.5% 15.2% Filters for historical windows that started with volatility similar to current 20-day HV (264 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 24.4%
  • Recent 20-Day HV: 17.3%
  • Parkinson Intraday Volatility: 21.5%
  • Vol Trend: Compressed (-29% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.8%
  • Top 10% Move (90th percentile): +6.9%
  • Bottom 10% Move (10th percentile): -5.7%
  • Max Historical Gain (14d): +14.6%
  • Max Historical Loss (14d): -16.6%