Finance

RIVN Move Probability $12.46 +0.04 (+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)
19.0%
Stock touched +5.0% ($13.08) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
7.9%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
2.41x
You are 2.4x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±4.1%
$11.95 — $12.96

Historical 1-Day Return Distribution

Frequency of rolling 1-day percentage returns over 521 historical windows (2024-09-23 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-18.0% to -15.2%: 1 occurrences (0.2%) -16.6% -15.2% to -12.5%: 1 occurrences (0.2%) -12.5% to -9.7%: 2 occurrences (0.4%) -9.7% to -6.9%: 13 occurrences (2.5%) -8.3% -6.9% to -4.1%: 36 occurrences (6.9%) -4.1% to -1.3%: 131 occurrences (25.1%) -1.3% to +1.4%: 174 occurrences (33.4%) 0.0% +1.4% to +4.2%: 113 occurrences (21.7%) +4.2% to +7.0%: 28 occurrences (5.4%) +7.0% to +9.8%: 13 occurrences (2.5%) 8.4% +9.8% to +12.6%: 3 occurrences (0.6%) +12.6% to +15.3%: 3 occurrences (0.6%) +15.3% to +18.1%: 0 occurrences (0.0%) 16.7% +18.1% to +20.9%: 0 occurrences (0.0%) +20.9% to +23.7%: 1 occurrences (0.2%) +23.7% to +26.5%: 2 occurrences (0.4%) 25.1%
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) 19.0% 7.9% Model-free reality across 521 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 5.7% Adjusts normal bell curve for real-world skewness (0.78) and kurtosis (6.14).
Standard Normal (Black-Scholes / GBM) 22.9% 11.4% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 11.2% 3.4% Filters for historical windows that started with volatility similar to current 20-day HV (116 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 64.4%
  • Recent 20-Day HV: 31.8%
  • Parkinson Intraday Volatility: 54.0%
  • Vol Trend: Compressed (-51% vs baseline)

1-Day Return Quantiles

  • Median Return: -0.1%
  • Top 10% Move (90th percentile): +4.1%
  • Bottom 10% Move (10th percentile): -4.1%
  • Max Historical Gain (1d): +26.5%
  • Max Historical Loss (1d): -18.0%