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)
20.9%
Stock touched +5.0% ($11.56) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
11.7%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
1.79x
You are 1.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±4.7%
$10.49 — $11.52

Historical 1-Day Return Distribution

Frequency of rolling 1-day percentage returns over 521 historical windows (2024-09-23 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-19.7% to -17.1%: 2 occurrences (0.4%) -18.4% -17.1% to -14.6%: 0 occurrences (0.0%) -14.6% to -12.1%: 2 occurrences (0.4%) -12.1% to -9.6%: 3 occurrences (0.6%) -10.8% -9.6% to -7.0%: 13 occurrences (2.5%) -7.0% to -4.5%: 36 occurrences (6.9%) -4.5% to -2.0%: 97 occurrences (18.6%) -3.3% -2.0% to +0.5%: 156 occurrences (29.9%) +0.5% to +3.1%: 120 occurrences (23.0%) +3.1% to +5.6%: 39 occurrences (7.5%) 4.3% +5.6% to +8.1%: 28 occurrences (5.4%) +8.1% to +10.6%: 9 occurrences (1.7%) +10.6% to +13.2%: 5 occurrences (1.0%) 11.9% +13.2% to +15.7%: 3 occurrences (0.6%) +15.7% to +18.2%: 3 occurrences (0.6%) +18.2% to +20.7%: 5 occurrences (1.0%) 19.5%
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) 20.9% 11.7% Model-free reality across 521 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 9.2% Adjusts normal bell curve for real-world skewness (0.45) and kurtosis (3.69).
Standard Normal (Black-Scholes / GBM) 29.7% 14.8% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 24.2% 13.0% Filters for historical windows that started with volatility similar to current 20-day HV (223 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)

1-Day Return Quantiles

  • Median Return: -0.2%
  • Top 10% Move (90th percentile): +5.6%
  • Bottom 10% Move (10th percentile): -4.7%
  • Max Historical Gain (1d): +20.7%
  • Max Historical Loss (1d): -19.7%