Finance

ECC Move Probability $2.81 +0.06 (+2.4%)

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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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
28.7%
Stock touched +5.0% ($2.96) at least once during 14 trading days.
Median first touch: Day 5 of 14
Expiration Close Probability
12.0%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.39x
You are 2.4x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±7.2%
$2.61 — $3.02

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%.

-26.6% to -23.7%: 3 occurrences (0.6%) -25.2% -23.7% to -20.7%: 3 occurrences (0.6%) -20.7% to -17.8%: 6 occurrences (1.2%) -17.8% to -14.9%: 9 occurrences (1.8%) -16.3% -14.9% to -11.9%: 16 occurrences (3.1%) -11.9% to -9.0%: 28 occurrences (5.5%) -9.0% to -6.1%: 59 occurrences (11.6%) -7.5% -6.1% to -3.1%: 59 occurrences (11.6%) -3.1% to -0.2%: 88 occurrences (17.3%) -0.2% to +2.7%: 133 occurrences (26.2%) 1.3% +2.7% to +5.7%: 49 occurrences (9.6%) +5.7% to +8.6%: 24 occurrences (4.7%) +8.6% to +11.6%: 17 occurrences (3.3%) 10.1% +11.6% to +14.5%: 8 occurrences (1.6%) +14.5% to +17.4%: 4 occurrences (0.8%) +17.4% to +20.4%: 2 occurrences (0.4%) 18.9%
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) 28.7% 12.0% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 16.0% Adjusts normal bell curve for real-world skewness (-0.21) and kurtosis (4.69).
Standard Normal (Black-Scholes / GBM) 49.7% 24.9% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 42.2% 18.4% Filters for historical windows that started with volatility similar to current 20-day HV (206 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 30.5%
  • Recent 20-Day HV: 37.2%
  • Parkinson Intraday Volatility: 23.5%
  • Vol Trend: Expanded (+22% vs baseline)

14-Day Return Quantiles

  • Median Return: -0.7%
  • Top 10% Move (90th percentile): +6.2%
  • Bottom 10% Move (10th percentile): -10.3%
  • Max Historical Gain (14d): +20.4%
  • Max Historical Loss (14d): -26.6%