Finance

ECO Move Probability $91.33 +3.17 (+3.6%)

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)
69.7%
Stock touched +5.0% ($95.90) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
49.8%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.40x
You are 1.4x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±10.7%
$81.59 — $101.07

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%.

-24.8% to -20.9%: 7 occurrences (1.4%) -22.9% -20.9% to -17.1%: 10 occurrences (2.0%) -17.1% to -13.3%: 21 occurrences (4.1%) -13.3% to -9.5%: 27 occurrences (5.3%) -11.4% -9.5% to -5.6%: 38 occurrences (7.5%) -5.6% to -1.8%: 38 occurrences (7.5%) -1.8% to +2.0%: 62 occurrences (12.2%) 0.1% +2.0% to +5.8%: 64 occurrences (12.6%) +5.8% to +9.7%: 78 occurrences (15.4%) +9.7% to +13.5%: 67 occurrences (13.2%) 11.6% +13.5% to +17.3%: 46 occurrences (9.1%) +17.3% to +21.1%: 23 occurrences (4.5%) +21.1% to +25.0%: 10 occurrences (2.0%) 23.1% +25.0% to +28.8%: 7 occurrences (1.4%) +28.8% to +32.6%: 4 occurrences (0.8%) +32.6% to +36.5%: 6 occurrences (1.2%) 34.5%
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) 69.7% 49.8% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 29.8% Adjusts normal bell curve for real-world skewness (0.11) and kurtosis (1.09).
Standard Normal (Black-Scholes / GBM) 64.7% 32.4% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 69.8% 49.4% Filters for historical windows that started with volatility similar to current 20-day HV (427 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 45.3%
  • Recent 20-Day HV: 51.3%
  • Parkinson Intraday Volatility: 26.3%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: +4.9%
  • Top 10% Move (90th percentile): +17.2%
  • Bottom 10% Move (10th percentile): -11.3%
  • Max Historical Gain (14d): +36.5%
  • Max Historical Loss (14d): -24.8%