Finance

NDAQ Move Probability $102.03 +5.84 (+6.1%)

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)
1.0%
Stock touched +5.0% ($107.13) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
0.8%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
1.25x
You are 1.2x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±1.6%
$100.37 — $103.69

Historical 1-Day Return Distribution

Frequency of rolling 1-day percentage returns over 522 historical windows (2024-09-23 to 2026-10-22). The colored bar indicates the win zone for +5.0%.

-9.4% to -8.3%: 1 occurrences (0.2%) -8.8% -8.3% to -7.2%: 1 occurrences (0.2%) -7.2% to -6.0%: 1 occurrences (0.2%) -6.0% to -4.9%: 2 occurrences (0.4%) -5.5% -4.9% to -3.8%: 5 occurrences (1.0%) -3.8% to -2.7%: 9 occurrences (1.7%) -2.7% to -1.6%: 41 occurrences (7.9%) -2.2% -1.6% to -0.5%: 101 occurrences (19.3%) -0.5% to +0.6%: 178 occurrences (34.1%) +0.6% to +1.7%: 126 occurrences (24.1%) 1.2% +1.7% to +2.8%: 42 occurrences (8.0%) +2.8% to +4.0%: 10 occurrences (1.9%) +4.0% to +5.1%: 1 occurrences (0.2%) 4.5% +5.1% to +6.2%: 2 occurrences (0.4%) +6.2% to +7.3%: 1 occurrences (0.2%) +7.3% to +8.4%: 1 occurrences (0.2%) 7.8%
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) 1.0% 0.8% Model-free reality across 522 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 49.4% Adjusts normal bell curve for real-world skewness (-0.67) and kurtosis (5.83).
Standard Normal (Black-Scholes / GBM) 0.3% 0.1% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 0.4% 0.4% Filters for historical windows that started with volatility similar to current 20-day HV (255 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

1-Day Return Quantiles

  • Median Return: +0.1%
  • Top 10% Move (90th percentile): +1.8%
  • Bottom 10% Move (10th percentile): -1.7%
  • Max Historical Gain (1d): +8.4%
  • Max Historical Loss (1d): -9.4%