Finance

NRDS Move Probability $10.47 -0.08 (-0.8%)

Real historical back-data analysis: evaluates rolling trading-day windows to determine the probability of a stock touching or closing at your target move.

← Back to NRDS Options chain →
Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
54.1%
Stock touched +5.0% ($10.99) at least once during 14 trading days.
Median first touch: Day 5 of 14
Expiration Close Probability
31.3%
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%)
±13.2%
$9.08 — $11.86

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%.

-35.7% to -31.0%: 4 occurrences (0.8%) -33.3% -31.0% to -26.3%: 14 occurrences (2.8%) -26.3% to -21.6%: 13 occurrences (2.6%) -21.6% to -16.8%: 10 occurrences (2.0%) -19.2% -16.8% to -12.1%: 18 occurrences (3.5%) -12.1% to -7.4%: 62 occurrences (12.2%) -7.4% to -2.7%: 92 occurrences (18.1%) -5.1% -2.7% to +2.0%: 87 occurrences (17.1%) +2.0% to +6.7%: 69 occurrences (13.6%) +6.7% to +11.4%: 60 occurrences (11.8%) 9.0% +11.4% to +16.1%: 30 occurrences (5.9%) +16.1% to +20.8%: 17 occurrences (3.3%) +20.8% to +25.5%: 13 occurrences (2.6%) 23.1% +25.5% to +30.2%: 10 occurrences (2.0%) +30.2% to +34.9%: 5 occurrences (1.0%) +34.9% to +39.6%: 4 occurrences (0.8%) 37.3%
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) 54.1% 31.3% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 11.4% Adjusts normal bell curve for real-world skewness (1.0) and kurtosis (16.79).
Standard Normal (Black-Scholes / GBM) 71.2% 35.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 52.5% 33.5% Filters for historical windows that started with volatility similar to current 20-day HV (278 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 56.1%
  • Recent 20-Day HV: 38.9%
  • Parkinson Intraday Volatility: 38.0%
  • Vol Trend: Compressed (-31% vs baseline)

14-Day Return Quantiles

  • Median Return: -0.4%
  • Top 10% Move (90th percentile): +15.6%
  • Bottom 10% Move (10th percentile): -13.4%
  • Max Historical Gain (14d): +39.6%
  • Max Historical Loss (14d): -35.7%