Finance

NHICU Move Probability $11.55 +1.05 (+10.0%)

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)
3.7%
Stock touched +5.0% ($12.13) at least once during 14 trading days.
Median first touch: Day 8 of 14
Expiration Close Probability
3.7%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.00x
You are 1.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±1.9%
$11.33 — $11.77

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 377 historical windows (2025-02-28 to 2026-09-18). The colored bar indicates the win zone for +5.0%.

-0.5% to +0.2%: 332 occurrences (88.1%) -0.1% +0.2% to +0.8%: 3 occurrences (0.8%) +0.8% to +1.5%: 0 occurrences (0.0%) +1.5% to +2.1%: 13 occurrences (3.4%) 1.8% +2.1% to +2.8%: 15 occurrences (4.0%) +2.8% to +3.5%: 0 occurrences (0.0%) +3.5% to +4.1%: 0 occurrences (0.0%) 3.8% +4.1% to +4.8%: 0 occurrences (0.0%) +4.8% to +5.4%: 0 occurrences (0.0%) +5.4% to +6.1%: 0 occurrences (0.0%) 5.7% +6.1% to +6.7%: 0 occurrences (0.0%) +6.7% to +7.4%: 0 occurrences (0.0%) +7.4% to +8.0%: 0 occurrences (0.0%) 7.7% +8.0% to +8.7%: 0 occurrences (0.0%) +8.7% to +9.3%: 0 occurrences (0.0%) +9.3% to +10.0%: 14 occurrences (3.7%) 9.7%
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) 3.7% 3.7% Model-free reality across 377 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 0.0% Adjusts normal bell curve for real-world skewness (16.58) and kurtosis (294.54).
Standard Normal (Black-Scholes / GBM) 1.1% 0.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 4.9% 4.9% Filters for historical windows that started with volatility similar to current 20-day HV (285 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 8.2%
  • Recent 20-Day HV: 0.0%
  • Parkinson Intraday Volatility: 0.1%
  • Vol Trend: Compressed (-100% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.0%
  • Top 10% Move (90th percentile): +1.9%
  • Bottom 10% Move (10th percentile): +0.0%
  • Max Historical Gain (14d): +10.0%
  • Max Historical Loss (14d): -0.5%