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.

← Back to NRIX Options chain →
Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
29.6%
Stock touched +5.0% ($24.84) at least once during 2 trading days.
Median first touch: Day 1 of 2
Expiration Close Probability
14.0%
Stock closed at or beyond +5.0% at the end of the 2-day window.
The Touch Multiple
2.11x
You are 2.1x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±5.4%
$22.39 — $24.92

Historical 2-Day Return Distribution

Frequency of rolling 2-day percentage returns over 520 historical windows (2024-09-16 to 2026-10-14). The colored bar indicates the win zone for +5.0%.

-18.9% to -16.4%: 1 occurrences (0.2%) -17.7% -16.4% to -13.9%: 4 occurrences (0.8%) -13.9% to -11.4%: 1 occurrences (0.2%) -11.4% to -8.9%: 7 occurrences (1.3%) -10.2% -8.9% to -6.4%: 24 occurrences (4.6%) -6.4% to -3.9%: 54 occurrences (10.4%) -3.9% to -1.5%: 103 occurrences (19.8%) -2.7% -1.5% to +1.0%: 130 occurrences (25.0%) +1.0% to +3.5%: 96 occurrences (18.5%) +3.5% to +6.0%: 43 occurrences (8.3%) 4.8% +6.0% to +8.5%: 29 occurrences (5.6%) +8.5% to +11.0%: 13 occurrences (2.5%) +11.0% to +13.5%: 5 occurrences (1.0%) 12.3% +13.5% to +16.0%: 5 occurrences (1.0%) +16.0% to +18.5%: 1 occurrences (0.2%) +18.5% to +21.0%: 4 occurrences (0.8%) 19.7%
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) 29.6% 14.0% Model-free reality across 520 historical 2-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 13.2% Adjusts normal bell curve for real-world skewness (0.24) and kurtosis (2.45).
Standard Normal (Black-Scholes / GBM) 36.2% 18.1% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 21.2% 10.0% Filters for historical windows that started with volatility similar to current 20-day HV (259 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)

2-Day Return Quantiles

  • Median Return: -0.3%
  • Top 10% Move (90th percentile): +6.3%
  • Bottom 10% Move (10th percentile): -5.5%
  • Max Historical Gain (2d): +21.0%
  • Max Historical Loss (2d): -18.9%