Finance

ECG Move Probability $105.98 +0.48 (+0.5%)

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)
77.9%
Stock touched +5.0% ($111.28) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
40.7%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.91x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±14.6%
$90.51 — $121.45

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 479 historical windows (2024-11-01 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-44.2% to -38.1%: 5 occurrences (1.0%) -41.2% -38.1% to -32.1%: 5 occurrences (1.0%) -32.1% to -26.1%: 4 occurrences (0.8%) -26.1% to -20.0%: 4 occurrences (0.8%) -23.0% -20.0% to -14.0%: 15 occurrences (3.1%) -14.0% to -7.9%: 37 occurrences (7.7%) -7.9% to -1.9%: 72 occurrences (15.0%) -4.9% -1.9% to +4.2%: 114 occurrences (23.8%) +4.2% to +10.2%: 109 occurrences (22.8%) +10.2% to +16.3%: 62 occurrences (12.9%) 13.2% +16.3% to +22.3%: 29 occurrences (6.1%) +22.3% to +28.3%: 9 occurrences (1.9%) +28.3% to +34.4%: 6 occurrences (1.3%) 31.4% +34.4% to +40.4%: 2 occurrences (0.4%) +40.4% to +46.5%: 3 occurrences (0.6%) +46.5% to +52.5%: 3 occurrences (0.6%) 49.5%
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) 77.9% 40.7% Model-free reality across 479 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 30.7% Adjusts normal bell curve for real-world skewness (0.01) and kurtosis (4.2).
Standard Normal (Black-Scholes / GBM) 73.8% 36.9% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 92.0% 43.8% Filters for historical windows that started with volatility similar to current 20-day HV (137 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 61.9%
  • Recent 20-Day HV: 39.3%
  • Parkinson Intraday Volatility: 43.8%
  • Vol Trend: Compressed (-37% vs baseline)

14-Day Return Quantiles

  • Median Return: +3.3%
  • Top 10% Move (90th percentile): +17.0%
  • Bottom 10% Move (10th percentile): -11.5%
  • Max Historical Gain (14d): +52.5%
  • Max Historical Loss (14d): -44.2%