Finance

NEE Move Probability $80.86 +2.61 (+3.3%)

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

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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
1.0%
Stock touched +5.0% ($84.90) 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%
$79.58 — $82.13

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%.

-7.3% to -6.4%: 2 occurrences (0.4%) -6.8% -6.4% to -5.5%: 1 occurrences (0.2%) -5.5% to -4.6%: 2 occurrences (0.4%) -4.6% to -3.7%: 6 occurrences (1.1%) -4.2% -3.7% to -2.8%: 8 occurrences (1.5%) -2.8% to -2.0%: 23 occurrences (4.4%) -2.0% to -1.1%: 64 occurrences (12.3%) -1.5% -1.1% to -0.2%: 111 occurrences (21.3%) -0.2% to +0.7%: 156 occurrences (29.9%) +0.7% to +1.6%: 90 occurrences (17.2%) 1.2% +1.6% to +2.5%: 36 occurrences (6.9%) +2.5% to +3.4%: 13 occurrences (2.5%) +3.4% to +4.3%: 4 occurrences (0.8%) 3.8% +4.3% to +5.1%: 2 occurrences (0.4%) +5.1% to +6.0%: 3 occurrences (0.6%) +6.0% to +6.9%: 1 occurrences (0.2%) 6.5%
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) — 12.5% Adjusts normal bell curve for real-world skewness (-0.32) and kurtosis (2.99).
Standard Normal (Black-Scholes / GBM) 0.2% 0.1% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 0.7% 0.7% Filters for historical windows that started with volatility similar to current 20-day HV (299 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)

1-Day Return Quantiles

  • Median Return: +0.1%
  • Top 10% Move (90th percentile): +1.7%
  • Bottom 10% Move (10th percentile): -1.6%
  • Max Historical Gain (1d): +6.9%
  • Max Historical Loss (1d): -7.3%