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)
6.5%
Stock touched +5.0% ($68.30) at least once during 2 trading days.
Median first touch: Day 2 of 2
Expiration Close Probability
4.0%
Stock closed at or beyond +5.0% at the end of the 2-day window.
The Touch Multiple
1.62x
You are 1.6x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±3.1%
$63.03 — $67.07

Historical 2-Day Return Distribution

Frequency of rolling 2-day percentage returns over 520 historical windows (2024-09-23 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-12.0% to -10.2%: 2 occurrences (0.4%) -11.1% -10.2% to -8.4%: 5 occurrences (1.0%) -8.4% to -6.7%: 5 occurrences (1.0%) -6.7% to -4.9%: 12 occurrences (2.3%) -5.8% -4.9% to -3.1%: 36 occurrences (6.9%) -3.1% to -1.3%: 82 occurrences (15.8%) -1.3% to +0.5%: 157 occurrences (30.2%) -0.4% +0.5% to +2.2%: 122 occurrences (23.5%) +2.2% to +4.0%: 68 occurrences (13.1%) +4.0% to +5.8%: 14 occurrences (2.7%) 4.9% +5.8% to +7.6%: 7 occurrences (1.3%) +7.6% to +9.3%: 5 occurrences (1.0%) +9.3% to +11.1%: 0 occurrences (0.0%) 10.2% +11.1% to +12.9%: 2 occurrences (0.4%) +12.9% to +14.7%: 1 occurrences (0.2%) +14.7% to +16.4%: 2 occurrences (0.4%) 15.6%
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) 6.5% 4.0% Model-free reality across 520 historical 2-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 3.9% Adjusts normal bell curve for real-world skewness (0.06) and kurtosis (5.85).
Standard Normal (Black-Scholes / GBM) 11.5% 5.8% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 4.5% 3.5% Filters for historical windows that started with volatility similar to current 20-day HV (374 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

2-Day Return Quantiles

  • Median Return: -0.0%
  • Top 10% Move (90th percentile): +3.3%
  • Bottom 10% Move (10th percentile): -3.4%
  • Max Historical Gain (2d): +16.4%
  • Max Historical Loss (2d): -12.0%