Finance

NVDA Move Probability $221.90 +5.49 (+2.5%)

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)
4.8%
Stock touched +5.0% ($233.00) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
2.7%
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%)
±2.7%
$215.81 — $227.99

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%.

-16.9% to -14.7%: 1 occurrences (0.2%) -15.8% -14.7% to -12.5%: 0 occurrences (0.0%) -12.5% to -10.3%: 0 occurrences (0.0%) -10.3% to -8.1%: 2 occurrences (0.4%) -9.2% -8.1% to -5.8%: 5 occurrences (1.0%) -5.8% to -3.6%: 26 occurrences (5.0%) -3.6% to -1.4%: 88 occurrences (16.9%) -2.5% -1.4% to +0.8%: 190 occurrences (36.5%) +0.8% to +3.0%: 147 occurrences (28.2%) +3.0% to +5.2%: 50 occurrences (9.6%) 4.1% +5.2% to +7.4%: 8 occurrences (1.5%) +7.4% to +9.6%: 3 occurrences (0.6%) +9.6% to +11.8%: 0 occurrences (0.0%) 10.7% +11.8% to +14.0%: 0 occurrences (0.0%) +14.0% to +16.2%: 0 occurrences (0.0%) +16.2% to +18.5%: 1 occurrences (0.2%) 17.4%
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) 4.8% 2.7% Model-free reality across 521 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 3.3% Adjusts normal bell curve for real-world skewness (-0.37) and kurtosis (6.49).
Standard Normal (Black-Scholes / GBM) 7.5% 3.8% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 3.1% 2.5% Filters for historical windows that started with volatility similar to current 20-day HV (160 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 43.6%
  • Recent 20-Day HV: 24.9%
  • Parkinson Intraday Volatility: 34.1%
  • Vol Trend: Compressed (-43% vs baseline)

1-Day Return Quantiles

  • Median Return: +0.2%
  • Top 10% Move (90th percentile): +3.2%
  • Bottom 10% Move (10th percentile): -3.1%
  • Max Historical Gain (1d): +18.5%
  • Max Historical Loss (1d): -16.9%