Finance

NRGV Move Probability $2.75 -0.01 (-0.5%)

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)
83.3%
Stock touched +5.0% ($2.88) at least once during 14 trading days.
Median first touch: Day 1 of 14
Expiration Close Probability
45.3%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.84x
You are 1.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±26.6%
$2.01 — $3.48

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%.

-42.8% to -33.8%: 16 occurrences (3.1%) -38.3% -33.8% to -24.8%: 47 occurrences (9.3%) -24.8% to -15.7%: 56 occurrences (11.0%) -15.7% to -6.7%: 57 occurrences (11.2%) -11.2% -6.7% to +2.3%: 80 occurrences (15.7%) +2.3% to +11.3%: 47 occurrences (9.3%) +11.3% to +20.3%: 56 occurrences (11.0%) 15.8% +20.3% to +29.3%: 37 occurrences (7.3%) +29.3% to +38.4%: 39 occurrences (7.7%) +38.4% to +47.4%: 36 occurrences (7.1%) 42.9% +47.4% to +56.4%: 14 occurrences (2.8%) +56.4% to +65.4%: 8 occurrences (1.6%) +65.4% to +74.4%: 5 occurrences (1.0%) 69.9% +74.4% to +83.4%: 2 occurrences (0.4%) +83.4% to +92.5%: 4 occurrences (0.8%) +92.5% to +101.5%: 4 occurrences (0.8%) 97.0%
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) 83.3% 45.3% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 41.2% Adjusts normal bell curve for real-world skewness (-0.08) and kurtosis (2.23).
Standard Normal (Black-Scholes / GBM) 85.4% 42.7% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 70.8% 53.8% Filters for historical windows that started with volatility similar to current 20-day HV (65 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 112.8%
  • Recent 20-Day HV: 60.2%
  • Parkinson Intraday Volatility: 97.9%
  • Vol Trend: Compressed (-47% vs baseline)

14-Day Return Quantiles

  • Median Return: +2.2%
  • Top 10% Move (90th percentile): +42.8%
  • Bottom 10% Move (10th percentile): -26.7%
  • Max Historical Gain (14d): +101.5%
  • Max Historical Loss (14d): -42.8%