Finance

NXT Move Probability $91.27 +11.93 (+15.0%)

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)
73.2%
Stock touched +5.0% ($95.83) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
38.6%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.90x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±15.1%
$77.46 — $105.08

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%.

-24.7% to -20.3%: 6 occurrences (1.2%) -22.5% -20.3% to -16.0%: 11 occurrences (2.2%) -16.0% to -11.6%: 42 occurrences (8.3%) -11.6% to -7.2%: 56 occurrences (11.0%) -9.4% -7.2% to -2.8%: 72 occurrences (14.2%) -2.8% to +1.5%: 66 occurrences (13.0%) +1.5% to +5.9%: 70 occurrences (13.8%) 3.7% +5.9% to +10.3%: 45 occurrences (8.9%) +10.3% to +14.7%: 38 occurrences (7.5%) +14.7% to +19.0%: 33 occurrences (6.5%) 16.8% +19.0% to +23.4%: 35 occurrences (6.9%) +23.4% to +27.8%: 21 occurrences (4.1%) +27.8% to +32.1%: 3 occurrences (0.6%) 30.0% +32.1% to +36.5%: 6 occurrences (1.2%) +36.5% to +40.9%: 2 occurrences (0.4%) +40.9% to +45.3%: 2 occurrences (0.4%) 43.1%
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) 73.2% 38.6% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 29.7% Adjusts normal bell curve for real-world skewness (0.74) and kurtosis (3.17).
Standard Normal (Black-Scholes / GBM) 74.7% 37.4% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 70.7% 32.7% Filters for historical windows that started with volatility similar to current 20-day HV (376 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 64.2%
  • Recent 20-Day HV: 75.5%
  • Parkinson Intraday Volatility: 51.0%
  • Vol Trend: Expanded (+18% vs baseline)

14-Day Return Quantiles

  • Median Return: +1.6%
  • Top 10% Move (90th percentile): +20.8%
  • Bottom 10% Move (10th percentile): -12.5%
  • Max Historical Gain (14d): +45.3%
  • Max Historical Loss (14d): -24.7%