Finance

EEM Move Probability $63.58 +0.25 (+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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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
27.0%
Stock touched +5.0% ($66.75) at least once during 14 trading days.
Median first touch: Day 9 of 14
Expiration Close Probability
15.9%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.69x
You are 1.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±5.2%
$60.27 — $66.88

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%.

-14.7% to -12.8%: 2 occurrences (0.4%) -13.7% -12.8% to -10.9%: 0 occurrences (0.0%) -10.9% to -9.1%: 4 occurrences (0.8%) -9.1% to -7.2%: 7 occurrences (1.4%) -8.1% -7.2% to -5.3%: 18 occurrences (3.5%) -5.3% to -3.4%: 36 occurrences (7.1%) -3.4% to -1.5%: 61 occurrences (12.0%) -2.5% -1.5% to +0.3%: 63 occurrences (12.4%) +0.3% to +2.2%: 102 occurrences (20.1%) +2.2% to +4.1%: 112 occurrences (22.0%) 3.2% +4.1% to +6.0%: 46 occurrences (9.1%) +6.0% to +7.9%: 38 occurrences (7.5%) +7.9% to +9.7%: 9 occurrences (1.8%) 8.8% +9.7% to +11.6%: 6 occurrences (1.2%) +11.6% to +13.5%: 2 occurrences (0.4%) +13.5% to +15.4%: 2 occurrences (0.4%) 14.4%
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) 27.0% 15.9% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 10.9% Adjusts normal bell curve for real-world skewness (-0.27) and kurtosis (3.69).
Standard Normal (Black-Scholes / GBM) 34.9% 17.4% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 16.6% 8.3% Filters for historical windows that started with volatility similar to current 20-day HV (290 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 22.1%
  • Recent 20-Day HV: 17.4%
  • Parkinson Intraday Volatility: 12.6%
  • Vol Trend: Compressed (-21% vs baseline)

14-Day Return Quantiles

  • Median Return: +1.5%
  • Top 10% Move (90th percentile): +6.3%
  • Bottom 10% Move (10th percentile): -4.1%
  • Max Historical Gain (14d): +15.4%
  • Max Historical Loss (14d): -14.7%