Finance

NYC Move Probability $5.92 -0.51 (-7.9%)

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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Touch Probability (First Passage)
34.1%
Stock touched +5.0% ($6.22) at least once during 14 trading days.
Median first touch: Day 5 of 14
Expiration Close Probability
22.1%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.54x
You are 1.5x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±13.5%
$5.12 — $6.72

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 507 historical windows (2024-09-23 to 2026-10-20). The colored bar indicates the win zone for +5.0%.

-29.3% to -23.5%: 21 occurrences (4.1%) -26.4% -23.5% to -17.6%: 21 occurrences (4.1%) -17.6% to -11.7%: 22 occurrences (4.3%) -11.7% to -5.8%: 86 occurrences (17.0%) -8.8% -5.8% to +0.1%: 170 occurrences (33.5%) +0.1% to +5.9%: 93 occurrences (18.3%) +5.9% to +11.8%: 20 occurrences (3.9%) 8.9% +11.8% to +17.7%: 22 occurrences (4.3%) +17.7% to +23.6%: 24 occurrences (4.7%) +23.6% to +29.4%: 12 occurrences (2.4%) 26.5% +29.4% to +35.3%: 0 occurrences (0.0%) +35.3% to +41.2%: 6 occurrences (1.2%) +41.2% to +47.1%: 0 occurrences (0.0%) 44.1% +47.1% to +52.9%: 9 occurrences (1.8%) +52.9% to +58.8%: 0 occurrences (0.0%) +58.8% to +64.7%: 1 occurrences (0.2%) 61.8%
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) 34.1% 22.1% Model-free reality across 507 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 3.5% Adjusts normal bell curve for real-world skewness (0.11) and kurtosis (32.97).
Standard Normal (Black-Scholes / GBM) 71.7% 35.9% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 41.4% 24.7% Filters for historical windows that started with volatility similar to current 20-day HV (162 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 57.1%
  • Recent 20-Day HV: 49.0%
  • Parkinson Intraday Volatility: 27.2%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: +0.0%
  • Top 10% Move (90th percentile): +18.2%
  • Bottom 10% Move (10th percentile): -15.9%
  • Max Historical Gain (14d): +64.7%
  • Max Historical Loss (14d): -29.3%