Finance

NIO Move Probability $3.35 -0.07 (-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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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
66.3%
Stock touched +5.0% ($3.52) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
25.0%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.65x
You are 2.6x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±14.1%
$2.88 — $3.82

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%.

-39.6% to -34.1%: 2 occurrences (0.4%) -36.9% -34.1% to -28.7%: 2 occurrences (0.4%) -28.7% to -23.3%: 13 occurrences (2.6%) -23.3% to -17.9%: 19 occurrences (3.7%) -20.6% -17.9% to -12.4%: 40 occurrences (7.9%) -12.4% to -7.0%: 76 occurrences (15.0%) -7.0% to -1.6%: 137 occurrences (27.0%) -4.3% -1.6% to +3.9%: 79 occurrences (15.6%) +3.9% to +9.3%: 49 occurrences (9.6%) +9.3% to +14.7%: 30 occurrences (5.9%) 12.0% +14.7% to +20.2%: 23 occurrences (4.5%) +20.2% to +25.6%: 11 occurrences (2.2%) +25.6% to +31.0%: 10 occurrences (2.0%) 28.3% +31.0% to +36.5%: 7 occurrences (1.4%) +36.5% to +41.9%: 6 occurrences (1.2%) +41.9% to +47.3%: 4 occurrences (0.8%) 44.6%
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) 66.3% 25.0% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 32.3% Adjusts normal bell curve for real-world skewness (0.47) and kurtosis (1.3).
Standard Normal (Black-Scholes / GBM) 73.0% 36.5% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 61.7% 24.2% Filters for historical windows that started with volatility similar to current 20-day HV (256 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 59.9%
  • Recent 20-Day HV: 42.6%
  • Parkinson Intraday Volatility: 45.6%
  • Vol Trend: Compressed (-29% vs baseline)

14-Day Return Quantiles

  • Median Return: -2.7%
  • Top 10% Move (90th percentile): +16.5%
  • Bottom 10% Move (10th percentile): -15.4%
  • Max Historical Gain (14d): +47.3%
  • Max Historical Loss (14d): -39.6%