Finance

NHI Move Probability $64.85 -1.45 (-2.2%)

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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Touch Probability (First Passage)
28.0%
Stock touched +5.0% ($68.09) at least once during 14 trading days.
Median first touch: Day 7 of 14
Expiration Close Probability
14.6%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.92x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±5.2%
$61.45 — $68.25

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%.

-14.3% to -12.5%: 4 occurrences (0.8%) -13.4% -12.5% to -10.6%: 7 occurrences (1.4%) -10.6% to -8.8%: 9 occurrences (1.8%) -8.8% to -7.0%: 23 occurrences (4.5%) -7.9% -7.0% to -5.2%: 44 occurrences (8.7%) -5.2% to -3.4%: 56 occurrences (11.0%) -3.4% to -1.6%: 58 occurrences (11.4%) -2.5% -1.6% to +0.3%: 63 occurrences (12.4%) +0.3% to +2.1%: 77 occurrences (15.2%) +2.1% to +3.9%: 64 occurrences (12.6%) 3.0% +3.9% to +5.7%: 48 occurrences (9.4%) +5.7% to +7.5%: 23 occurrences (4.5%) +7.5% to +9.3%: 16 occurrences (3.1%) 8.4% +9.3% to +11.2%: 7 occurrences (1.4%) +11.2% to +13.0%: 7 occurrences (1.4%) +13.0% to +14.8%: 2 occurrences (0.4%) 13.9%
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) 28.0% 14.6% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 12.8% Adjusts normal bell curve for real-world skewness (-0.53) and kurtosis (2.94).
Standard Normal (Black-Scholes / GBM) 35.2% 17.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 29.9% 17.1% Filters for historical windows that started with volatility similar to current 20-day HV (398 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 22.2%
  • Recent 20-Day HV: 19.8%
  • Parkinson Intraday Volatility: 16.9%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: +0.1%
  • Top 10% Move (90th percentile): +5.9%
  • Bottom 10% Move (10th percentile): -6.7%
  • Max Historical Gain (14d): +14.8%
  • Max Historical Loss (14d): -14.3%