Finance

NVDA Move Probability $206.10 +1.34 (+0.7%)

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)
71.7%
Stock touched +3.5% ($213.31) at least once during 10 trading days.
Median first touch: Day 3 of 10
Expiration Close Probability
35.7%
Stock closed at or beyond +3.5% at the end of the 10-day window.
The Touch Multiple
2.01x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±8.7%
$188.22 — $223.98

Historical 10-Day Return Distribution

Frequency of rolling 10-day percentage returns over 512 historical windows (2024-10-03 to 2026-11-02). 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%: 6 occurrences (1.2%) -15.4% to -12.5%: 6 occurrences (1.2%) -12.5% to -9.7%: 9 occurrences (1.8%) -11.1% -9.7% to -6.9%: 22 occurrences (4.3%) -6.9% to -4.0%: 63 occurrences (12.3%) -4.0% to -1.2%: 92 occurrences (18.0%) -2.6% -1.2% to +1.7%: 71 occurrences (13.9%) +1.7% to +4.5%: 87 occurrences (17.0%) +4.5% to +7.4%: 61 occurrences (11.9%) 5.9% +7.4% to +10.2%: 34 occurrences (6.6%) +10.2% to +13.0%: 30 occurrences (5.9%) +13.0% to +15.9%: 15 occurrences (2.9%) 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) 71.7% 35.7% Model-free reality across 512 historical 10-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 25.9% Adjusts normal bell curve for real-world skewness (-0.36) and kurtosis (6.5).
Standard Normal (Black-Scholes / GBM) 69.2% 34.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 69.7% 37.3% Filters for historical windows that started with volatility similar to current 20-day HV (314 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 43.5%
  • Recent 20-Day HV: 30.8%
  • Parkinson Intraday Volatility: 33.9%
  • Vol Trend: Compressed (-29% vs baseline)

10-Day Return Quantiles

  • Median Return: +1.0%
  • Top 10% Move (90th percentile): +10.5%
  • Bottom 10% Move (10th percentile): -6.4%
  • Max Historical Gain (10d): +24.4%
  • Max Historical Loss (10d): -21.1%