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)
17.7%
Stock touched +5.0% ($3.52) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
8.8%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
2.00x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±3.8%
$3.22 — $3.48

Historical 1-Day Return Distribution

Frequency of rolling 1-day percentage returns over 521 historical windows (2024-09-23 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-10.0% to -8.3%: 5 occurrences (1.0%) -9.2% -8.3% to -6.6%: 14 occurrences (2.7%) -6.6% to -5.0%: 18 occurrences (3.5%) -5.0% to -3.3%: 55 occurrences (10.6%) -4.1% -3.3% to -1.6%: 83 occurrences (15.9%) -1.6% to +0.1%: 102 occurrences (19.6%) +0.1% to +1.7%: 101 occurrences (19.4%) 0.9% +1.7% to +3.4%: 69 occurrences (13.2%) +3.4% to +5.1%: 28 occurrences (5.4%) +5.1% to +6.8%: 19 occurrences (3.6%) 5.9% +6.8% to +8.4%: 14 occurrences (2.7%) +8.4% to +10.1%: 4 occurrences (0.8%) +10.1% to +11.8%: 4 occurrences (0.8%) 11.0% +11.8% to +13.5%: 2 occurrences (0.4%) +13.5% to +15.1%: 1 occurrences (0.2%) +15.1% to +16.8%: 2 occurrences (0.4%) 16.0%
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) 17.7% 8.8% Model-free reality across 521 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 9.3% Adjusts normal bell curve for real-world skewness (0.47) and kurtosis (1.3).
Standard Normal (Black-Scholes / GBM) 19.6% 9.8% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 13.4% 5.9% Filters for historical windows that started with volatility similar to current 20-day HV (269 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)

1-Day Return Quantiles

  • Median Return: -0.2%
  • Top 10% Move (90th percentile): +4.6%
  • Bottom 10% Move (10th percentile): -4.3%
  • Max Historical Gain (1d): +16.8%
  • Max Historical Loss (1d): -10.0%