Finance

NOMD Move Probability $11.82 -0.17 (-1.4%)

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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Touch Probability (First Passage)
37.2%
Stock touched +5.0% ($12.41) at least once during 14 trading days.
Median first touch: Day 6 of 14
Expiration Close Probability
17.9%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.08x
You are 2.1x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±6.9%
$11.01 — $12.63

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%.

-26.8% to -24.1%: 2 occurrences (0.4%) -25.4% -24.1% to -21.4%: 1 occurrences (0.2%) -21.4% to -18.7%: 7 occurrences (1.4%) -18.7% to -16.0%: 2 occurrences (0.4%) -17.4% -16.0% to -13.3%: 9 occurrences (1.8%) -13.3% to -10.7%: 13 occurrences (2.6%) -10.7% to -8.0%: 31 occurrences (6.1%) -9.3% -8.0% to -5.3%: 74 occurrences (14.6%) -5.3% to -2.6%: 53 occurrences (10.4%) -2.6% to +0.1%: 90 occurrences (17.7%) -1.3% +0.1% to +2.8%: 69 occurrences (13.6%) +2.8% to +5.4%: 74 occurrences (14.6%) +5.4% to +8.1%: 28 occurrences (5.5%) 6.8% +8.1% to +10.8%: 33 occurrences (6.5%) +10.8% to +13.5%: 14 occurrences (2.8%) +13.5% to +16.2%: 8 occurrences (1.6%) 14.8%
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) 37.2% 17.9% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 16.1% Adjusts normal bell curve for real-world skewness (-0.11) and kurtosis (3.98).
Standard Normal (Black-Scholes / GBM) 47.9% 23.9% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 43.3% 21.8% Filters for historical windows that started with volatility similar to current 20-day HV (358 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 29.2%
  • Recent 20-Day HV: 27.7%
  • Parkinson Intraday Volatility: 24.5%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: -0.5%
  • Top 10% Move (90th percentile): +8.4%
  • Bottom 10% Move (10th percentile): -8.8%
  • Max Historical Gain (14d): +16.2%
  • Max Historical Loss (14d): -26.8%