Finance

NFLX Move Probability $65.05 -3.62 (-5.3%)

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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Touch Probability (First Passage)
46.1%
Stock touched +5.0% ($68.30) at least once during 14 trading days.
Median first touch: Day 6 of 14
Expiration Close Probability
27.4%
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%)
±8.2%
$59.72 — $70.38

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 508 historical windows (2024-09-23 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-18.4% to -15.3%: 6 occurrences (1.2%) -16.8% -15.3% to -12.2%: 16 occurrences (3.1%) -12.2% to -9.2%: 45 occurrences (8.9%) -9.2% to -6.1%: 63 occurrences (12.4%) -7.6% -6.1% to -3.0%: 75 occurrences (14.8%) -3.0% to +0.0%: 70 occurrences (13.8%) +0.0% to +3.1%: 58 occurrences (11.4%) 1.6% +3.1% to +6.2%: 62 occurrences (12.2%) +6.2% to +9.2%: 35 occurrences (6.9%) +9.2% to +12.3%: 36 occurrences (7.1%) 10.8% +12.3% to +15.3%: 4 occurrences (0.8%) +15.3% to +18.4%: 13 occurrences (2.6%) +18.4% to +21.5%: 11 occurrences (2.2%) 19.9% +21.5% to +24.5%: 6 occurrences (1.2%) +24.5% to +27.6%: 3 occurrences (0.6%) +27.6% to +30.7%: 5 occurrences (1.0%) 29.1%
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) 46.1% 27.4% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 16.2% Adjusts normal bell curve for real-world skewness (0.06) and kurtosis (5.85).
Standard Normal (Black-Scholes / GBM) 55.2% 27.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 45.0% 25.7% Filters for historical windows that started with volatility similar to current 20-day HV (362 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 34.8%
  • Recent 20-Day HV: 32.7%
  • Parkinson Intraday Volatility: 26.3%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: -0.9%
  • Top 10% Move (90th percentile): +11.4%
  • Bottom 10% Move (10th percentile): -9.8%
  • Max Historical Gain (14d): +30.7%
  • Max Historical Loss (14d): -18.4%