Finance

NUAI Move Probability $3.31 +0.50 (+17.6%)

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)
50.0%
Stock touched +5.0% ($3.48) at least once during 2 trading days.
Median first touch: Day 1 of 2
Expiration Close Probability
25.8%
Stock closed at or beyond +5.0% at the end of the 2-day window.
The Touch Multiple
1.94x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±18.5%
$2.70 — $3.92

Historical 2-Day Return Distribution

Frequency of rolling 2-day percentage returns over 520 historical windows (2024-09-23 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-48.6% to -19.8%: 29 occurrences (5.6%) -34.2% -19.8% to +9.1%: 395 occurrences (76.0%) +9.1% to +37.9%: 74 occurrences (14.2%) +37.9% to +66.7%: 13 occurrences (2.5%) 52.3% +66.7% to +95.5%: 4 occurrences (0.8%) +95.5% to +124.4%: 1 occurrences (0.2%) +124.4% to +153.2%: 2 occurrences (0.4%) 138.8% +153.2% to +182.0%: 0 occurrences (0.0%) +182.0% to +210.8%: 0 occurrences (0.0%) +210.8% to +239.7%: 0 occurrences (0.0%) 225.3% +239.7% to +268.5%: 0 occurrences (0.0%) +268.5% to +297.3%: 0 occurrences (0.0%) +297.3% to +326.1%: 0 occurrences (0.0%) 311.7% +326.1% to +355.0%: 0 occurrences (0.0%) +355.0% to +383.8%: 0 occurrences (0.0%) +383.8% to +412.6%: 2 occurrences (0.4%) 398.2%
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) 50.0% 25.8% Model-free reality across 520 historical 2-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 3.3% Adjusts normal bell curve for real-world skewness (4.34) and kurtosis (48.76).
Standard Normal (Black-Scholes / GBM) 79.2% 39.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 52.2% 27.4% Filters for historical windows that started with volatility similar to current 20-day HV (274 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 208.1%
  • Recent 20-Day HV: 113.9%
  • Parkinson Intraday Volatility: 133.2%
  • Vol Trend: Compressed (-45% vs baseline)

2-Day Return Quantiles

  • Median Return: -0.2%
  • Top 10% Move (90th percentile): +17.8%
  • Bottom 10% Move (10th percentile): -14.8%
  • Max Historical Gain (2d): +412.6%
  • Max Historical Loss (2d): -48.6%