Finance

NVO Move Probability $39.53 +0.47 (+1.2%)

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)
6.1%
Stock touched +5.0% ($41.51) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
3.4%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
1.78x
You are 1.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±3.1%
$38.32 — $40.75

Historical 1-Day Return Distribution

Frequency of rolling 1-day percentage returns over 522 historical windows (2024-09-23 to 2026-10-22). The colored bar indicates the win zone for +5.0%.

-21.8% to -19.8%: 1 occurrences (0.2%) -20.8% -19.8% to -17.8%: 1 occurrences (0.2%) -17.8% to -15.8%: 1 occurrences (0.2%) -15.8% to -13.9%: 1 occurrences (0.2%) -14.8% -13.9% to -11.9%: 0 occurrences (0.0%) -11.9% to -9.9%: 0 occurrences (0.0%) -9.9% to -7.9%: 4 occurrences (0.8%) -8.9% -7.9% to -5.9%: 7 occurrences (1.3%) -5.9% to -3.9%: 13 occurrences (2.5%) -3.9% to -1.9%: 78 occurrences (14.9%) -2.9% -1.9% to +0.1%: 187 occurrences (35.8%) +0.1% to +2.1%: 142 occurrences (27.2%) +2.1% to +4.1%: 60 occurrences (11.5%) 3.1% +4.1% to +6.0%: 17 occurrences (3.3%) +6.0% to +8.0%: 7 occurrences (1.3%) +8.0% to +10.0%: 3 occurrences (0.6%) 9.0%
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) 6.1% 3.4% Model-free reality across 522 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 0.6% Adjusts normal bell curve for real-world skewness (-1.97) and kurtosis (13.51).
Standard Normal (Black-Scholes / GBM) 11.1% 5.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 3.4% 3.4% Filters for historical windows that started with volatility similar to current 20-day HV (58 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 48.6%
  • Recent 20-Day HV: 19.9%
  • Parkinson Intraday Volatility: 25.5%
  • Vol Trend: Compressed (-59% vs baseline)

1-Day Return Quantiles

  • Median Return: -0.2%
  • Top 10% Move (90th percentile): +2.9%
  • Bottom 10% Move (10th percentile): -2.8%
  • Max Historical Gain (1d): +10.0%
  • Max Historical Loss (1d): -21.8%