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)
31.9%
Stock touched +5.0% ($12.63) at least once during 4 trading days.
Median first touch: Day 2 of 4
Expiration Close Probability
17.6%
Stock closed at or beyond +5.0% at the end of the 4-day window.
The Touch Multiple
1.81x
You are 1.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±5.9%
$11.31 — $12.75

Historical 4-Day Return Distribution

Frequency of rolling 4-day percentage returns over 517 historical windows (2024-10-10 to 2026-11-06). The colored bar indicates the win zone for +5.0%.

-21.0% to -18.2%: 4 occurrences (0.8%) -19.6% -18.2% to -15.4%: 5 occurrences (1.0%) -15.4% to -12.6%: 7 occurrences (1.4%) -12.6% to -9.9%: 11 occurrences (2.1%) -11.3% -9.9% to -7.1%: 22 occurrences (4.3%) -7.1% to -4.3%: 46 occurrences (8.9%) -4.3% to -1.5%: 90 occurrences (17.4%) -2.9% -1.5% to +1.3%: 113 occurrences (21.9%) +1.3% to +4.0%: 96 occurrences (18.6%) +4.0% to +6.8%: 76 occurrences (14.7%) 5.4% +6.8% to +9.6%: 29 occurrences (5.6%) +9.6% to +12.4%: 11 occurrences (2.1%) +12.4% to +15.2%: 3 occurrences (0.6%) 13.8% +15.2% to +18.0%: 2 occurrences (0.4%) +18.0% to +20.7%: 0 occurrences (0.0%) +20.7% to +23.5%: 2 occurrences (0.4%) 22.1%
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) 31.9% 17.6% Model-free reality across 517 historical 4-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 9.5% Adjusts normal bell curve for real-world skewness (-1.18) and kurtosis (8.43).
Standard Normal (Black-Scholes / GBM) 41.2% 20.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 35.7% 19.9% Filters for historical windows that started with volatility similar to current 20-day HV (171 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)

4-Day Return Quantiles

  • Median Return: +0.2%
  • Top 10% Move (90th percentile): +6.3%
  • Bottom 10% Move (10th percentile): -6.7%
  • Max Historical Gain (4d): +23.5%
  • Max Historical Loss (4d): -21.0%