Finance

NVAX Move Probability $11.01 -0.41 (-3.6%)

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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Touch Probability (First Passage)
74.6%
Stock touched +5.0% ($11.56) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
38.8%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.92x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±17.5%
$9.08 — $12.93

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 508 historical windows (2024-09-23 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-31.1% to -26.2%: 8 occurrences (1.6%) -28.7% -26.2% to -21.3%: 21 occurrences (4.1%) -21.3% to -16.4%: 31 occurrences (6.1%) -16.4% to -11.5%: 50 occurrences (9.8%) -13.9% -11.5% to -6.6%: 37 occurrences (7.3%) -6.6% to -1.7%: 80 occurrences (15.7%) -1.7% to +3.2%: 70 occurrences (13.8%) 0.8% +3.2% to +8.2%: 51 occurrences (10.0%) +8.2% to +13.1%: 70 occurrences (13.8%) +13.1% to +18.0%: 43 occurrences (8.5%) 15.5% +18.0% to +22.9%: 22 occurrences (4.3%) +22.9% to +27.8%: 10 occurrences (2.0%) +27.8% to +32.7%: 9 occurrences (1.8%) 30.2% +32.7% to +37.6%: 1 occurrences (0.2%) +37.6% to +42.5%: 3 occurrences (0.6%) +42.5% to +47.4%: 2 occurrences (0.4%) 45.0%
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) 74.6% 38.8% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 32.1% Adjusts normal bell curve for real-world skewness (0.45) and kurtosis (3.69).
Standard Normal (Black-Scholes / GBM) 78.0% 39.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 71.1% 23.7% Filters for historical windows that started with volatility similar to current 20-day HV (211 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 74.2%
  • Recent 20-Day HV: 109.5%
  • Parkinson Intraday Volatility: 64.2%
  • Vol Trend: Expanded (+48% vs baseline)

14-Day Return Quantiles

  • Median Return: -0.1%
  • Top 10% Move (90th percentile): +17.5%
  • Bottom 10% Move (10th percentile): -17.4%
  • Max Historical Gain (14d): +47.4%
  • Max Historical Loss (14d): -31.1%