Finance

ED Move Probability $111.81 -0.17 (-0.2%)

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)
29.5%
Stock touched +5.0% ($117.41) at least once during 14 trading days.
Median first touch: Day 9 of 14
Expiration Close Probability
14.6%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.03x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±4.4%
$106.93 — $116.70

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%.

-12.6% to -11.0%: 2 occurrences (0.4%) -11.8% -11.0% to -9.5%: 5 occurrences (1.0%) -9.5% to -7.9%: 6 occurrences (1.2%) -7.9% to -6.3%: 9 occurrences (1.8%) -7.1% -6.3% to -4.8%: 32 occurrences (6.3%) -4.8% to -3.2%: 49 occurrences (9.6%) -3.2% to -1.7%: 63 occurrences (12.4%) -2.4% -1.7% to -0.1%: 62 occurrences (12.2%) -0.1% to +1.5%: 76 occurrences (15.0%) +1.5% to +3.0%: 55 occurrences (10.8%) 2.2% +3.0% to +4.6%: 67 occurrences (13.2%) +4.6% to +6.1%: 33 occurrences (6.5%) +6.1% to +7.7%: 38 occurrences (7.5%) 6.9% +7.7% to +9.2%: 8 occurrences (1.6%) +9.2% to +10.8%: 2 occurrences (0.4%) +10.8% to +12.4%: 1 occurrences (0.2%) 11.6%
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) 29.5% 14.6% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 12.7% Adjusts normal bell curve for real-world skewness (-0.06) and kurtosis (0.27).
Standard Normal (Black-Scholes / GBM) 26.4% 13.2% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 27.1% 12.9% Filters for historical windows that started with volatility similar to current 20-day HV (410 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 18.5%
  • Recent 20-Day HV: 17.1%
  • Parkinson Intraday Volatility: 15.9%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: +0.3%
  • Top 10% Move (90th percentile): +6.1%
  • Bottom 10% Move (10th percentile): -4.9%
  • Max Historical Gain (14d): +12.4%
  • Max Historical Loss (14d): -12.6%