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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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
8.1%
Stock touched +5.0% ($104.79) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
3.6%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
2.21x
You are 2.2x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±3.2%
$96.56 — $103.04

Historical 1-Day Return Distribution

Frequency of rolling 1-day percentage returns over 521 historical windows (2024-09-23 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-15.5% to -12.9%: 3 occurrences (0.6%) -14.2% -12.9% to -10.3%: 0 occurrences (0.0%) -10.3% to -7.7%: 4 occurrences (0.8%) -7.7% to -5.0%: 16 occurrences (3.1%) -6.4% -5.0% to -2.4%: 57 occurrences (10.9%) -2.4% to +0.2%: 189 occurrences (36.3%) +0.2% to +2.8%: 170 occurrences (32.6%) 1.5% +2.8% to +5.4%: 66 occurrences (12.7%) +5.4% to +8.0%: 11 occurrences (2.1%) +8.0% to +10.6%: 2 occurrences (0.4%) 9.3% +10.6% to +13.2%: 1 occurrences (0.2%) +13.2% to +15.8%: 1 occurrences (0.2%) +15.8% to +18.5%: 0 occurrences (0.0%) 17.1% +18.5% to +21.1%: 0 occurrences (0.0%) +21.1% to +23.7%: 0 occurrences (0.0%) +23.7% to +26.3%: 1 occurrences (0.2%) 25.0%
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) 8.1% 3.6% Model-free reality across 521 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 3.2% Adjusts normal bell curve for real-world skewness (0.07) and kurtosis (7.81).
Standard Normal (Black-Scholes / GBM) 13.3% 6.7% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 7.0% 3.4% Filters for historical windows that started with volatility similar to current 20-day HV (383 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

1-Day Return Quantiles

  • Median Return: +0.0%
  • Top 10% Move (90th percentile): +3.6%
  • Bottom 10% Move (10th percentile): -3.4%
  • Max Historical Gain (1d): +26.3%
  • Max Historical Loss (1d): -15.5%