Finance

NEE Move Probability $80.73 +2.48 (+3.2%)

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 NEE Options chain →
Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
34.0%
Stock touched +5.0% ($84.77) at least once during 14 trading days.
Median first touch: Day 7 of 14
Expiration Close Probability
15.9%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.14x
You are 2.1x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±5.9%
$75.97 — $85.50

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%.

-12.6% to -10.6%: 6 occurrences (1.2%) -11.6% -10.6% to -8.6%: 12 occurrences (2.4%) -8.6% to -6.7%: 23 occurrences (4.5%) -6.7% to -4.7%: 39 occurrences (7.7%) -5.7% -4.7% to -2.8%: 74 occurrences (14.5%) -2.8% to -0.8%: 83 occurrences (16.3%) -0.8% to +1.2%: 74 occurrences (14.5%) 0.2% +1.2% to +3.1%: 70 occurrences (13.8%) +3.1% to +5.1%: 51 occurrences (10.0%) +5.1% to +7.0%: 26 occurrences (5.1%) 6.0% +7.0% to +9.0%: 23 occurrences (4.5%) +9.0% to +10.9%: 10 occurrences (2.0%) +10.9% to +12.9%: 9 occurrences (1.8%) 11.9% +12.9% to +14.9%: 2 occurrences (0.4%) +14.9% to +16.8%: 3 occurrences (0.6%) +16.8% to +18.8%: 4 occurrences (0.8%) 17.8%
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) 34.0% 15.9% Model-free reality across 509 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 14.9% Adjusts normal bell curve for real-world skewness (-0.32) and kurtosis (2.99).
Standard Normal (Black-Scholes / GBM) 40.8% 20.4% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 33.2% 18.9% Filters for historical windows that started with volatility similar to current 20-day HV (286 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 25.0%
  • Recent 20-Day HV: 18.4%
  • Parkinson Intraday Volatility: 22.2%
  • Vol Trend: Compressed (-26% vs baseline)

14-Day Return Quantiles

  • Median Return: -0.3%
  • Top 10% Move (90th percentile): +6.9%
  • Bottom 10% Move (10th percentile): -6.0%
  • Max Historical Gain (14d): +18.8%
  • Max Historical Loss (14d): -12.6%