Finance

NMIH Move Probability $40.79 -0.85 (-2.0%)

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)
37.8%
Stock touched +5.0% ($42.83) at least once during 14 trading days.
Median first touch: Day 7 of 14
Expiration Close Probability
21.9%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.73x
You are 1.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±6.0%
$38.35 — $43.23

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%.

-15.5% to -13.6%: 1 occurrences (0.2%) -14.5% -13.6% to -11.7%: 4 occurrences (0.8%) -11.7% to -9.8%: 12 occurrences (2.4%) -9.8% to -7.9%: 32 occurrences (6.3%) -8.8% -7.9% to -6.0%: 36 occurrences (7.1%) -6.0% to -4.1%: 56 occurrences (11.0%) -4.1% to -2.2%: 48 occurrences (9.4%) -3.2% -2.2% to -0.3%: 48 occurrences (9.4%) -0.3% to +1.6%: 62 occurrences (12.2%) +1.6% to +3.5%: 55 occurrences (10.8%) 2.5% +3.5% to +5.3%: 49 occurrences (9.6%) +5.3% to +7.2%: 42 occurrences (8.3%) +7.2% to +9.1%: 28 occurrences (5.5%) 8.2% +9.1% to +11.0%: 18 occurrences (3.5%) +11.0% to +12.9%: 9 occurrences (1.8%) +12.9% to +14.8%: 8 occurrences (1.6%) 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) 37.8% 21.9% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 14.8% Adjusts normal bell curve for real-world skewness (-0.69) and kurtosis (3.85).
Standard Normal (Black-Scholes / GBM) 41.5% 20.7% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 39.9% 20.7% Filters for historical windows that started with volatility similar to current 20-day HV (188 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 25.4%
  • Recent 20-Day HV: 38.4%
  • Parkinson Intraday Volatility: 19.5%
  • Vol Trend: Expanded (+51% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.3%
  • Top 10% Move (90th percentile): +7.9%
  • Bottom 10% Move (10th percentile): -7.7%
  • Max Historical Gain (14d): +14.8%
  • Max Historical Loss (14d): -15.5%