Finance

NXST Move Probability $164.90 -4.04 (-2.4%)

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)
47.2%
Stock touched +5.0% ($173.15) at least once during 14 trading days.
Median first touch: Day 6 of 14
Expiration Close Probability
25.6%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.85x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±8.3%
$151.17 — $178.63

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%.

-26.1% to -23.2%: 3 occurrences (0.6%) -24.6% -23.2% to -20.3%: 3 occurrences (0.6%) -20.3% to -17.5%: 8 occurrences (1.6%) -17.5% to -14.6%: 4 occurrences (0.8%) -16.1% -14.6% to -11.8%: 11 occurrences (2.2%) -11.8% to -8.9%: 16 occurrences (3.1%) -8.9% to -6.1%: 43 occurrences (8.5%) -7.5% -6.1% to -3.2%: 63 occurrences (12.4%) -3.2% to -0.4%: 78 occurrences (15.4%) -0.4% to +2.5%: 83 occurrences (16.3%) 1.1% +2.5% to +5.3%: 75 occurrences (14.8%) +5.3% to +8.2%: 39 occurrences (7.7%) +8.2% to +11.0%: 33 occurrences (6.5%) 9.6% +11.0% to +13.9%: 28 occurrences (5.5%) +13.9% to +16.7%: 15 occurrences (3.0%) +16.7% to +19.6%: 6 occurrences (1.2%) 18.2%
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) 47.2% 25.6% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 18.0% Adjusts normal bell curve for real-world skewness (-0.58) and kurtosis (6.43).
Standard Normal (Black-Scholes / GBM) 55.8% 27.9% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 46.5% 27.3% Filters for historical windows that started with volatility similar to current 20-day HV (256 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 35.3%
  • Recent 20-Day HV: 22.8%
  • Parkinson Intraday Volatility: 27.1%
  • Vol Trend: Compressed (-36% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.4%
  • Top 10% Move (90th percentile): +10.8%
  • Bottom 10% Move (10th percentile): -8.4%
  • Max Historical Gain (14d): +19.6%
  • Max Historical Loss (14d): -26.1%