Finance

NOV Move Probability $19.76 +0.99 (+5.3%)

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)
59.0%
Stock touched +5.0% ($20.75) at least once during 14 trading days.
Median first touch: Day 5 of 14
Expiration Close Probability
28.0%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.10x
You are 2.1x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±9.4%
$17.91 — $21.61

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 510 historical windows (2024-09-23 to 2026-10-23). The colored bar indicates the win zone for +5.0%.

-26.0% to -23.0%: 1 occurrences (0.2%) -24.5% -23.0% to -19.9%: 7 occurrences (1.4%) -19.9% to -16.9%: 3 occurrences (0.6%) -16.9% to -13.8%: 5 occurrences (1.0%) -15.4% -13.8% to -10.8%: 15 occurrences (2.9%) -10.8% to -7.7%: 25 occurrences (4.9%) -7.7% to -4.7%: 46 occurrences (9.0%) -6.2% -4.7% to -1.7%: 71 occurrences (13.9%) -1.7% to +1.4%: 85 occurrences (16.7%) +1.4% to +4.4%: 90 occurrences (17.6%) 2.9% +4.4% to +7.5%: 79 occurrences (15.5%) +7.5% to +10.5%: 44 occurrences (8.6%) +10.5% to +13.5%: 18 occurrences (3.5%) 12.0% +13.5% to +16.6%: 12 occurrences (2.4%) +16.6% to +19.6%: 4 occurrences (0.8%) +19.6% to +22.7%: 5 occurrences (1.0%) 21.2%
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) 59.0% 28.0% Model-free reality across 510 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 20.4% Adjusts normal bell curve for real-world skewness (-0.05) and kurtosis (5.32).
Standard Normal (Black-Scholes / GBM) 60.3% 30.1% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 60.2% 29.7% Filters for historical windows that started with volatility similar to current 20-day HV (407 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 39.8%
  • Recent 20-Day HV: 33.5%
  • Parkinson Intraday Volatility: 31.8%
  • Vol Trend: Compressed (-16% vs baseline)

14-Day Return Quantiles

  • Median Return: +1.3%
  • Top 10% Move (90th percentile): +9.5%
  • Bottom 10% Move (10th percentile): -8.1%
  • Max Historical Gain (14d): +22.7%
  • Max Historical Loss (14d): -26.0%