Finance

NVMI Move Probability $331.20 +11.20 (+3.5%)

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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Touch Probability (First Passage)
69.9%
Stock touched +5.0% ($347.76) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
37.8%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.85x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±13.5%
$286.59 — $375.81

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 508 historical windows (2024-09-23 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-26.3% to -22.2%: 4 occurrences (0.8%) -24.3% -22.2% to -18.0%: 11 occurrences (2.2%) -18.0% to -13.8%: 33 occurrences (6.5%) -13.8% to -9.7%: 34 occurrences (6.7%) -11.8% -9.7% to -5.5%: 61 occurrences (12.0%) -5.5% to -1.3%: 74 occurrences (14.6%) -1.3% to +2.8%: 57 occurrences (11.2%) 0.7% +2.8% to +7.0%: 71 occurrences (14.0%) +7.0% to +11.2%: 43 occurrences (8.5%) +11.2% to +15.3%: 42 occurrences (8.3%) 13.2% +15.3% to +19.5%: 30 occurrences (5.9%) +19.5% to +23.7%: 22 occurrences (4.3%) +23.7% to +27.8%: 11 occurrences (2.2%) 25.7% +27.8% to +32.0%: 8 occurrences (1.6%) +32.0% to +36.2%: 5 occurrences (1.0%) +36.2% to +40.3%: 2 occurrences (0.4%) 38.2%
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) 69.9% 37.8% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 36.1% Adjusts normal bell curve for real-world skewness (-0.33) and kurtosis (1.05).
Standard Normal (Black-Scholes / GBM) 71.7% 35.9% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 72.0% 41.1% Filters for historical windows that started with volatility similar to current 20-day HV (207 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 57.1%
  • Recent 20-Day HV: 40.0%
  • Parkinson Intraday Volatility: 37.5%
  • Vol Trend: Compressed (-30% vs baseline)

14-Day Return Quantiles

  • Median Return: +1.9%
  • Top 10% Move (90th percentile): +19.2%
  • Bottom 10% Move (10th percentile): -13.0%
  • Max Historical Gain (14d): +40.3%
  • Max Historical Loss (14d): -26.3%