Finance

NU Move Probability $12.03 +0.28 (+2.4%)

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)
61.7%
Stock touched +5.0% ($12.63) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
35.9%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.72x
You are 1.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±11.1%
$10.69 — $13.37

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 507 historical windows (2024-10-10 to 2026-11-06). The colored bar indicates the win zone for +5.0%.

-27.4% to -24.1%: 8 occurrences (1.6%) -25.8% -24.1% to -20.9%: 9 occurrences (1.8%) -20.9% to -17.6%: 13 occurrences (2.6%) -17.6% to -14.3%: 18 occurrences (3.6%) -15.9% -14.3% to -11.0%: 33 occurrences (6.5%) -11.0% to -7.7%: 35 occurrences (6.9%) -7.7% to -4.4%: 55 occurrences (10.8%) -6.0% -4.4% to -1.1%: 52 occurrences (10.3%) -1.1% to +2.2%: 48 occurrences (9.5%) +2.2% to +5.5%: 62 occurrences (12.2%) 3.8% +5.5% to +8.8%: 65 occurrences (12.8%) +8.8% to +12.1%: 40 occurrences (7.9%) +12.1% to +15.4%: 35 occurrences (6.9%) 13.7% +15.4% to +18.7%: 15 occurrences (3.0%) +18.7% to +21.9%: 13 occurrences (2.6%) +21.9% to +25.2%: 6 occurrences (1.2%) 23.6%
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) 61.7% 35.9% Model-free reality across 507 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 26.3% Adjusts normal bell curve for real-world skewness (-1.18) and kurtosis (8.43).
Standard Normal (Black-Scholes / GBM) 66.1% 33.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 62.7% 43.5% Filters for historical windows that started with volatility similar to current 20-day HV (161 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 47.2%
  • Recent 20-Day HV: 73.9%
  • Parkinson Intraday Volatility: 35.9%
  • Vol Trend: Expanded (+57% vs baseline)

14-Day Return Quantiles

  • Median Return: +1.0%
  • Top 10% Move (90th percentile): +13.3%
  • Bottom 10% Move (10th percentile): -13.9%
  • Max Historical Gain (14d): +25.2%
  • Max Historical Loss (14d): -27.4%