Finance

NVDA Move Probability $213.94 +1.78 (+0.8%)

Real historical back-data analysis: evaluates rolling trading-day windows to determine the probability of a stock touching or closing at your target move.

← Back to NVDA Options chain →
Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
63.8%
Stock touched -3.5% ($206.45) at least once during 10 trading days.
Median first touch: Day 3 of 10
Expiration Close Probability
23.5%
Stock closed at or beyond -3.5% at the end of the 10-day window.
The Touch Multiple
2.72x
You are 2.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±9.0%
$194.74 — $233.14

Historical 10-Day Return Distribution

Frequency of rolling 10-day percentage returns over 511 historical windows (2024-08-19 to 2026-09-16). The colored bar indicates the win zone for -3.5%.

-21.1% to -18.2%: 4 occurrences (0.8%) -19.7% -18.2% to -15.4%: 11 occurrences (2.2%) -15.4% to -12.5%: 7 occurrences (1.4%) -12.5% to -9.7%: 9 occurrences (1.8%) -11.1% -9.7% to -6.9%: 18 occurrences (3.5%) -6.9% to -4.0%: 58 occurrences (11.4%) -4.0% to -1.2%: 88 occurrences (17.2%) -2.6% -1.2% to +1.7%: 68 occurrences (13.3%) +1.7% to +4.5%: 87 occurrences (17.0%) +4.5% to +7.4%: 58 occurrences (11.4%) 5.9% +7.4% to +10.2%: 40 occurrences (7.8%) +10.2% to +13.0%: 34 occurrences (6.7%) +13.0% to +15.9%: 17 occurrences (3.3%) 14.5% +15.9% to +18.7%: 6 occurrences (1.2%) +18.7% to +21.6%: 5 occurrences (1.0%) +21.6% to +24.4%: 1 occurrences (0.2%) 23.0%
Historical returns Target move zone (-3.5%+) 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) 63.8% 23.5% Model-free reality across 511 historical 10-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 23.7% Adjusts normal bell curve for real-world skewness (-0.38) and kurtosis (5.82).
Standard Normal (Black-Scholes / GBM) 69.1% 34.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 63.3% 24.8% Filters for historical windows that started with volatility similar to current 20-day HV (343 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 45.1%
  • Recent 20-Day HV: 44.8%
  • Parkinson Intraday Volatility: 35.2%
  • Vol Trend: Normal / Consistent

10-Day Return Quantiles

  • Median Return: +1.3%
  • Top 10% Move (90th percentile): +11.1%
  • Bottom 10% Move (10th percentile): -6.5%
  • Max Historical Gain (10d): +24.4%
  • Max Historical Loss (10d): -21.1%