Finance

NDAQ Move Probability $102.27 +6.08 (+6.3%)

Real historical back-data analysis: evaluates rolling trading-day windows to determine the probability of a stock touching or closing at your target move.

← Back to NDAQ Options chain →
Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
41.8%
Stock touched +5.0% ($107.38) at least once during 14 trading days.
Median first touch: Day 8 of 14
Expiration Close Probability
25.0%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.68x
You are 1.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±6.1%
$96.04 — $108.50

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 509 historical windows (2024-09-23 to 2026-10-22). The colored bar indicates the win zone for +5.0%.

-19.7% to -17.1%: 5 occurrences (1.0%) -18.4% -17.1% to -14.5%: 6 occurrences (1.2%) -14.5% to -11.9%: 3 occurrences (0.6%) -11.9% to -9.4%: 13 occurrences (2.6%) -10.7% -9.4% to -6.8%: 18 occurrences (3.5%) -6.8% to -4.2%: 42 occurrences (8.3%) -4.2% to -1.7%: 67 occurrences (13.2%) -2.9% -1.7% to +0.9%: 86 occurrences (16.9%) +0.9% to +3.5%: 83 occurrences (16.3%) +3.5% to +6.0%: 97 occurrences (19.1%) 4.8% +6.0% to +8.6%: 52 occurrences (10.2%) +8.6% to +11.2%: 25 occurrences (4.9%) +11.2% to +13.8%: 7 occurrences (1.4%) 12.5% +13.8% to +16.3%: 2 occurrences (0.4%) +16.3% to +18.9%: 1 occurrences (0.2%) +18.9% to +21.5%: 2 occurrences (0.4%) 20.2%
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) 41.8% 25.0% Model-free reality across 509 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 11.8% Adjusts normal bell curve for real-world skewness (-0.67) and kurtosis (5.83).
Standard Normal (Black-Scholes / GBM) 42.3% 21.1% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 34.7% 13.1% Filters for historical windows that started with volatility similar to current 20-day HV (245 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 25.8%
  • Recent 20-Day HV: 27.9%
  • Parkinson Intraday Volatility: 21.5%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: +1.4%
  • Top 10% Move (90th percentile): +7.9%
  • Bottom 10% Move (10th percentile): -6.4%
  • Max Historical Gain (14d): +21.5%
  • Max Historical Loss (14d): -19.7%