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)
1.5%
Stock touched +5.0% ($66.75) at least once during 2 trading days.
Median first touch: Day 2 of 2
Expiration Close Probability
1.2%
Stock closed at or beyond +5.0% at the end of the 2-day window.
The Touch Multiple
1.33x
You are 1.3x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±2.0%
$62.32 — $64.83

Historical 2-Day Return Distribution

Frequency of rolling 2-day percentage returns over 520 historical windows (2024-09-23 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-9.0% to -8.1%: 1 occurrences (0.2%) -8.5% -8.1% to -7.1%: 2 occurrences (0.4%) -7.1% to -6.2%: 1 occurrences (0.2%) -6.2% to -5.3%: 1 occurrences (0.2%) -5.8% -5.3% to -4.4%: 4 occurrences (0.8%) -4.4% to -3.4%: 6 occurrences (1.2%) -3.4% to -2.5%: 21 occurrences (4.0%) -3.0% -2.5% to -1.6%: 33 occurrences (6.3%) -1.6% to -0.6%: 85 occurrences (16.3%) -0.6% to +0.3%: 108 occurrences (20.8%) -0.2% +0.3% to +1.2%: 128 occurrences (24.6%) +1.2% to +2.1%: 72 occurrences (13.8%) +2.1% to +3.1%: 34 occurrences (6.5%) 2.6% +3.1% to +4.0%: 16 occurrences (3.1%) +4.0% to +4.9%: 1 occurrences (0.2%) +4.9% to +5.9%: 7 occurrences (1.3%) 5.4%
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) 1.5% 1.2% Model-free reality across 520 historical 2-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 6.2% Adjusts normal bell curve for real-world skewness (-0.27) and kurtosis (3.69).
Standard Normal (Black-Scholes / GBM) 1.3% 0.7% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 0.0% 0.0% Filters for historical windows that started with volatility similar to current 20-day HV (302 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)

2-Day Return Quantiles

  • Median Return: +0.3%
  • Top 10% Move (90th percentile): +2.3%
  • Bottom 10% Move (10th percentile): -1.9%
  • Max Historical Gain (2d): +5.9%
  • Max Historical Loss (2d): -9.0%