Finance

NRG Move Probability $99.80 +1.98 (+2.0%)

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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Touch Probability (First Passage)
64.2%
Stock touched +5.0% ($104.79) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
25.8%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.49x
You are 2.5x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±12.2%
$87.67 — $111.93

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%.

-24.2% to -19.3%: 3 occurrences (0.6%) -21.7% -19.3% to -14.4%: 23 occurrences (4.5%) -14.4% to -9.5%: 39 occurrences (7.7%) -9.5% to -4.6%: 91 occurrences (17.9%) -7.1% -4.6% to +0.3%: 117 occurrences (23.0%) +0.3% to +5.2%: 108 occurrences (21.3%) +5.2% to +10.1%: 41 occurrences (8.1%) 7.6% +10.1% to +15.0%: 43 occurrences (8.5%) +15.0% to +19.9%: 13 occurrences (2.6%) +19.9% to +24.8%: 10 occurrences (2.0%) 22.3% +24.8% to +29.6%: 7 occurrences (1.4%) +29.6% to +34.5%: 4 occurrences (0.8%) +34.5% to +39.4%: 2 occurrences (0.4%) 37.0% +39.4% to +44.3%: 1 occurrences (0.2%) +44.3% to +49.2%: 4 occurrences (0.8%) +49.2% to +54.1%: 2 occurrences (0.4%) 51.7%
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) 64.2% 25.8% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 21.7% Adjusts normal bell curve for real-world skewness (0.07) and kurtosis (7.81).
Standard Normal (Black-Scholes / GBM) 68.8% 34.4% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 63.2% 24.1% Filters for historical windows that started with volatility similar to current 20-day HV (370 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 51.6%
  • Recent 20-Day HV: 49.1%
  • Parkinson Intraday Volatility: 38.5%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: -0.6%
  • Top 10% Move (90th percentile): +13.2%
  • Bottom 10% Move (10th percentile): -10.5%
  • Max Historical Gain (14d): +54.1%
  • Max Historical Loss (14d): -24.2%