Finance

NERV Move Probability $2.39 -0.03 (-1.2%)

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

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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
62.7%
Stock touched +5.0% ($2.51) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
35.2%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.78x
You are 1.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±24.4%
$1.81 — $2.97

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%.

-40.9% to -25.9%: 26 occurrences (5.1%) -33.4% -25.9% to -11.0%: 104 occurrences (20.4%) -11.0% to +3.9%: 188 occurrences (36.9%) +3.9% to +18.9%: 108 occurrences (21.2%) 11.4% +18.9% to +33.8%: 50 occurrences (9.8%) +33.8% to +48.8%: 15 occurrences (2.9%) +48.8% to +63.7%: 10 occurrences (2.0%) 56.2% +63.7% to +78.6%: 3 occurrences (0.6%) +78.6% to +93.6%: 0 occurrences (0.0%) +93.6% to +108.5%: 0 occurrences (0.0%) 101.0% +108.5% to +123.4%: 1 occurrences (0.2%) +123.4% to +138.4%: 2 occurrences (0.4%) +138.4% to +153.3%: 1 occurrences (0.2%) 145.9% +153.3% to +168.3%: 0 occurrences (0.0%) +168.3% to +183.2%: 0 occurrences (0.0%) +183.2% to +198.1%: 1 occurrences (0.2%) 190.7%
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) 62.7% 35.2% Model-free reality across 509 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 2.2% Adjusts normal bell curve for real-world skewness (5.74) and kurtosis (72.83).
Standard Normal (Black-Scholes / GBM) 84.1% 42.1% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 59.5% 36.0% Filters for historical windows that started with volatility similar to current 20-day HV (353 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 103.4%
  • Recent 20-Day HV: 78.2%
  • Parkinson Intraday Volatility: 58.4%
  • Vol Trend: Compressed (-24% vs baseline)

14-Day Return Quantiles

  • Median Return: -1.3%
  • Top 10% Move (90th percentile): +23.9%
  • Bottom 10% Move (10th percentile): -19.4%
  • Max Historical Gain (14d): +198.1%
  • Max Historical Loss (14d): -40.9%