Finance

NN Move Probability $9.58 -0.04 (-0.4%)

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)
22.1%
Stock touched +5.0% ($10.06) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
11.3%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
1.95x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±4.5%
$9.15 — $10.01

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%.

-22.3% to -19.3%: 1 occurrences (0.2%) -20.8% -19.3% to -16.2%: 1 occurrences (0.2%) -16.2% to -13.2%: 2 occurrences (0.4%) -13.2% to -10.1%: 2 occurrences (0.4%) -11.6% -10.1% to -7.1%: 14 occurrences (2.7%) -7.1% to -4.0%: 54 occurrences (10.4%) -4.0% to -1.0%: 121 occurrences (23.2%) -2.5% -1.0% to +2.1%: 179 occurrences (34.4%) +2.1% to +5.1%: 92 occurrences (17.7%) +5.1% to +8.2%: 39 occurrences (7.5%) 6.7% +8.2% to +11.2%: 10 occurrences (1.9%) +11.2% to +14.3%: 3 occurrences (0.6%) +14.3% to +17.3%: 1 occurrences (0.2%) 15.8% +17.3% to +20.4%: 0 occurrences (0.0%) +20.4% to +23.4%: 1 occurrences (0.2%) +23.4% to +26.5%: 1 occurrences (0.2%) 25.0%
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) 22.1% 11.3% Model-free reality across 521 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 7.2% Adjusts normal bell curve for real-world skewness (-0.23) and kurtosis (4.63).
Standard Normal (Black-Scholes / GBM) 28.0% 14.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 22.7% 11.3% Filters for historical windows that started with volatility similar to current 20-day HV (335 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 71.7%
  • Recent 20-Day HV: 63.7%
  • Parkinson Intraday Volatility: 67.5%
  • Vol Trend: Normal / Consistent

1-Day Return Quantiles

  • Median Return: +0.1%
  • Top 10% Move (90th percentile): +5.2%
  • Bottom 10% Move (10th percentile): -5.0%
  • Max Historical Gain (1d): +26.5%
  • Max Historical Loss (1d): -22.3%