Finance

NVD Move Probability $5.17 -0.29 (-5.2%)

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)
73.4%
Stock touched +5.0% ($5.43) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
25.2%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.91x
You are 2.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±21.0%
$4.08 — $6.26

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%.

-40.8% to -34.6%: 7 occurrences (1.4%) -37.7% -34.6% to -28.5%: 11 occurrences (2.2%) -28.5% to -22.4%: 26 occurrences (5.1%) -22.4% to -16.3%: 48 occurrences (9.5%) -19.3% -16.3% to -10.1%: 82 occurrences (16.2%) -10.1% to -4.0%: 78 occurrences (15.4%) -4.0% to +2.1%: 88 occurrences (17.4%) -0.9% +2.1% to +8.3%: 74 occurrences (14.6%) +8.3% to +14.4%: 47 occurrences (9.3%) +14.4% to +20.5%: 23 occurrences (4.5%) 17.5% +20.5% to +26.7%: 9 occurrences (1.8%) +26.7% to +32.8%: 3 occurrences (0.6%) +32.8% to +38.9%: 5 occurrences (1.0%) 35.8% +38.9% to +45.0%: 3 occurrences (0.6%) +45.0% to +51.2%: 0 occurrences (0.0%) +51.2% to +57.3%: 3 occurrences (0.6%) 54.2%
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) 73.4% 25.2% Model-free reality across 507 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 35.7% Adjusts normal bell curve for real-world skewness (-0.77) and kurtosis (9.66).
Standard Normal (Black-Scholes / GBM) 81.6% 40.8% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 73.4% 24.3% Filters for historical windows that started with volatility similar to current 20-day HV (346 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 89.1%
  • Recent 20-Day HV: 88.2%
  • Parkinson Intraday Volatility: 62.4%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: -3.9%
  • Top 10% Move (90th percentile): +13.3%
  • Bottom 10% Move (10th percentile): -21.3%
  • Max Historical Gain (14d): +57.3%
  • Max Historical Loss (14d): -40.8%