Finance

NRIX Move Probability $23.66 +1.55 (+7.0%)

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)
62.4%
Stock touched +5.0% ($24.84) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
32.7%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.91x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±14.2%
$20.31 — $27.00

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 508 historical windows (2024-09-16 to 2026-10-14). The colored bar indicates the win zone for +5.0%.

-34.7% to -28.3%: 6 occurrences (1.2%) -31.5% -28.3% to -21.9%: 9 occurrences (1.8%) -21.9% to -15.5%: 26 occurrences (5.1%) -15.5% to -9.1%: 87 occurrences (17.1%) -12.3% -9.1% to -2.6%: 119 occurrences (23.4%) -2.6% to +3.8%: 88 occurrences (17.3%) +3.8% to +10.2%: 62 occurrences (12.2%) 7.0% +10.2% to +16.6%: 42 occurrences (8.3%) +16.6% to +23.1%: 25 occurrences (4.9%) +23.1% to +29.5%: 15 occurrences (3.0%) 26.3% +29.5% to +35.9%: 7 occurrences (1.4%) +35.9% to +42.3%: 10 occurrences (2.0%) +42.3% to +48.8%: 6 occurrences (1.2%) 45.5% +48.8% to +55.2%: 3 occurrences (0.6%) +55.2% to +61.6%: 2 occurrences (0.4%) +61.6% to +68.0%: 1 occurrences (0.2%) 64.8%
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) 62.4% 32.7% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 31.6% Adjusts normal bell curve for real-world skewness (0.24) and kurtosis (2.45).
Standard Normal (Black-Scholes / GBM) 73.0% 36.5% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 55.1% 19.0% Filters for historical windows that started with volatility similar to current 20-day HV (247 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 60.1%
  • Recent 20-Day HV: 41.6%
  • Parkinson Intraday Volatility: 52.9%
  • Vol Trend: Compressed (-31% vs baseline)

14-Day Return Quantiles

  • Median Return: -2.2%
  • Top 10% Move (90th percentile): +20.1%
  • Bottom 10% Move (10th percentile): -14.4%
  • Max Historical Gain (14d): +68.0%
  • Max Historical Loss (14d): -34.7%