Finance

NXDT Move Probability $4.86 +0.03 (+0.6%)

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)
58.9%
Stock touched +5.0% ($5.10) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
31.9%
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%)
±13.2%
$4.22 — $5.49

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%.

-24.4% to -19.7%: 9 occurrences (1.8%) -22.1% -19.7% to -14.9%: 29 occurrences (5.7%) -14.9% to -10.2%: 47 occurrences (9.3%) -10.2% to -5.4%: 83 occurrences (16.3%) -7.8% -5.4% to -0.7%: 98 occurrences (19.3%) -0.7% to +4.1%: 71 occurrences (14.0%) +4.1% to +8.8%: 51 occurrences (10.0%) 6.4% +8.8% to +13.6%: 43 occurrences (8.5%) +13.6% to +18.3%: 24 occurrences (4.7%) +18.3% to +23.1%: 26 occurrences (5.1%) 20.7% +23.1% to +27.8%: 12 occurrences (2.4%) +27.8% to +32.6%: 5 occurrences (1.0%) +32.6% to +37.3%: 4 occurrences (0.8%) 35.0% +37.3% to +42.1%: 3 occurrences (0.6%) +42.1% to +46.8%: 1 occurrences (0.2%) +46.8% to +51.6%: 2 occurrences (0.4%) 49.2%
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) 58.9% 31.9% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 31.1% Adjusts normal bell curve for real-world skewness (0.06) and kurtosis (2.57).
Standard Normal (Black-Scholes / GBM) 71.1% 35.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 17.2% 0.0% Filters for historical windows that started with volatility similar to current 20-day HV (29 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 55.9%
  • Recent 20-Day HV: 19.3%
  • Parkinson Intraday Volatility: 45.9%
  • Vol Trend: Compressed (-65% vs baseline)

14-Day Return Quantiles

  • Median Return: -1.3%
  • Top 10% Move (90th percentile): +18.6%
  • Bottom 10% Move (10th percentile): -13.4%
  • Max Historical Gain (14d): +51.6%
  • Max Historical Loss (14d): -24.4%