Finance

NVRI Move Probability $20.03 +0.07 (+0.4%)

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)
61.8%
Stock touched +5.0% ($21.03) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
36.6%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.69x
You are 1.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±12.0%
$17.62 — $22.44

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%.

-36.0% to -30.3%: 14 occurrences (2.8%) -33.2% -30.3% to -24.7%: 12 occurrences (2.4%) -24.7% to -19.1%: 8 occurrences (1.6%) -19.1% to -13.4%: 10 occurrences (2.0%) -16.2% -13.4% to -7.8%: 19 occurrences (3.7%) -7.8% to -2.1%: 68 occurrences (13.4%) -2.1% to +3.5%: 151 occurrences (29.7%) 0.7% +3.5% to +9.2%: 102 occurrences (20.1%) +9.2% to +14.8%: 64 occurrences (12.6%) +14.8% to +20.4%: 23 occurrences (4.5%) 17.6% +20.4% to +26.1%: 14 occurrences (2.8%) +26.1% to +31.7%: 7 occurrences (1.4%) +31.7% to +37.4%: 6 occurrences (1.2%) 34.5% +37.4% to +43.0%: 4 occurrences (0.8%) +43.0% to +48.6%: 2 occurrences (0.4%) +48.6% to +54.3%: 4 occurrences (0.8%) 51.5%
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) 61.8% 36.6% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 11.1% Adjusts normal bell curve for real-world skewness (-0.3) and kurtosis (18.0).
Standard Normal (Black-Scholes / GBM) 68.6% 34.3% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 70.0% 41.5% Filters for historical windows that started with volatility similar to current 20-day HV (217 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 51.1%
  • Recent 20-Day HV: 30.7%
  • Parkinson Intraday Volatility: 38.2%
  • Vol Trend: Compressed (-40% vs baseline)

14-Day Return Quantiles

  • Median Return: +2.8%
  • Top 10% Move (90th percentile): +15.6%
  • Bottom 10% Move (10th percentile): -11.2%
  • Max Historical Gain (14d): +54.3%
  • Max Historical Loss (14d): -36.0%