Finance

NXDR Move Probability $2.62 +0.06 (+2.1%)

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)
68.1%
Stock touched +5.0% ($2.75) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
34.1%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.00x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±13.7%
$2.26 — $2.98

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%.

-40.3% to -33.1%: 12 occurrences (2.4%) -36.7% -33.1% to -25.9%: 2 occurrences (0.4%) -25.9% to -18.7%: 6 occurrences (1.2%) -18.7% to -11.5%: 49 occurrences (9.6%) -15.1% -11.5% to -4.3%: 80 occurrences (15.7%) -4.3% to +2.8%: 152 occurrences (29.9%) +2.8% to +10.0%: 101 occurrences (19.9%) 6.4% +10.0% to +17.2%: 69 occurrences (13.6%) +17.2% to +24.4%: 21 occurrences (4.1%) +24.4% to +31.6%: 12 occurrences (2.4%) 28.0% +31.6% to +38.8%: 1 occurrences (0.2%) +38.8% to +45.9%: 1 occurrences (0.2%) +45.9% to +53.1%: 0 occurrences (0.0%) 49.5% +53.1% to +60.3%: 1 occurrences (0.2%) +60.3% to +67.5%: 0 occurrences (0.0%) +67.5% to +74.7%: 1 occurrences (0.2%) 71.1%
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) 68.1% 34.1% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 16.7% Adjusts normal bell curve for real-world skewness (-0.86) and kurtosis (18.09).
Standard Normal (Black-Scholes / GBM) 72.2% 36.1% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 69.2% 35.2% Filters for historical windows that started with volatility similar to current 20-day HV (383 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 58.2%
  • Recent 20-Day HV: 49.2%
  • Parkinson Intraday Volatility: 51.2%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: +0.9%
  • Top 10% Move (90th percentile): +14.7%
  • Bottom 10% Move (10th percentile): -13.5%
  • Max Historical Gain (14d): +74.7%
  • Max Historical Loss (14d): -40.3%