Finance

NVO Move Probability $39.70 +0.64 (+1.7%)

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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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
49.5%
Stock touched +5.0% ($41.69) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
25.7%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.92x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±11.5%
$35.15 — $44.26

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 509 historical windows (2024-09-23 to 2026-10-22). The colored bar indicates the win zone for +5.0%.

-32.8% to -29.2%: 6 occurrences (1.2%) -31.0% -29.2% to -25.7%: 4 occurrences (0.8%) -25.7% to -22.1%: 13 occurrences (2.6%) -22.1% to -18.5%: 34 occurrences (6.7%) -20.3% -18.5% to -14.9%: 13 occurrences (2.6%) -14.9% to -11.4%: 36 occurrences (7.1%) -11.4% to -7.8%: 38 occurrences (7.5%) -9.6% -7.8% to -4.2%: 59 occurrences (11.6%) -4.2% to -0.6%: 77 occurrences (15.1%) -0.6% to +2.9%: 61 occurrences (12.0%) 1.1% +2.9% to +6.5%: 49 occurrences (9.6%) +6.5% to +10.1%: 46 occurrences (9.0%) +10.1% to +13.7%: 35 occurrences (6.9%) 11.9% +13.7% to +17.2%: 21 occurrences (4.1%) +17.2% to +20.8%: 11 occurrences (2.2%) +20.8% to +24.4%: 6 occurrences (1.2%) 22.6%
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) 49.5% 25.7% Model-free reality across 509 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 26.8% Adjusts normal bell curve for real-world skewness (-1.97) and kurtosis (13.51).
Standard Normal (Black-Scholes / GBM) 67.1% 33.5% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 50.9% 29.8% Filters for historical windows that started with volatility similar to current 20-day HV (57 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 48.7%
  • Recent 20-Day HV: 20.3%
  • Parkinson Intraday Volatility: 25.5%
  • Vol Trend: Compressed (-58% vs baseline)

14-Day Return Quantiles

  • Median Return: -1.6%
  • Top 10% Move (90th percentile): +12.2%
  • Bottom 10% Move (10th percentile): -19.3%
  • Max Historical Gain (14d): +24.4%
  • Max Historical Loss (14d): -32.8%