Finance

NOK Move Probability $7.88 -1.38 (-15.0%)

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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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
9.4%
Stock touched +5.0% ($8.27) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
5.4%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
1.75x
You are 1.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±3.2%
$7.62 — $8.13

Historical 1-Day Return Distribution

Frequency of rolling 1-day percentage returns over 522 historical windows (2024-09-23 to 2026-10-22). The colored bar indicates the win zone for +5.0%.

-15.0% to -12.6%: 3 occurrences (0.6%) -13.8% -12.6% to -10.3%: 0 occurrences (0.0%) -10.3% to -7.9%: 2 occurrences (0.4%) -7.9% to -5.6%: 14 occurrences (2.7%) -6.7% -5.6% to -3.2%: 34 occurrences (6.5%) -3.2% to -0.9%: 108 occurrences (20.7%) -0.9% to +1.5%: 232 occurrences (44.4%) 0.3% +1.5% to +3.8%: 90 occurrences (17.2%) +3.8% to +6.2%: 20 occurrences (3.8%) +6.2% to +8.5%: 9 occurrences (1.7%) 7.4% +8.5% to +10.9%: 7 occurrences (1.3%) +10.9% to +13.2%: 2 occurrences (0.4%) +13.2% to +15.6%: 0 occurrences (0.0%) 14.4% +15.6% to +18.0%: 0 occurrences (0.0%) +18.0% to +20.3%: 0 occurrences (0.0%) +20.3% to +22.7%: 1 occurrences (0.2%) 21.5%
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) 9.4% 5.4% Model-free reality across 522 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 3.8% Adjusts normal bell curve for real-world skewness (0.09) and kurtosis (6.43).
Standard Normal (Black-Scholes / GBM) 12.5% 6.2% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 17.8% 9.6% Filters for historical windows that started with volatility similar to current 20-day HV (157 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 50.4%
  • Recent 20-Day HV: 76.0%
  • Parkinson Intraday Volatility: 34.5%
  • Vol Trend: Expanded (+51% vs baseline)

1-Day Return Quantiles

  • Median Return: +0.2%
  • Top 10% Move (90th percentile): +3.3%
  • Bottom 10% Move (10th percentile): -3.3%
  • Max Historical Gain (1d): +22.7%
  • Max Historical Loss (1d): -15.0%