Finance

EFC Move Probability $11.42 -0.06 (-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)
20.1%
Stock touched +5.0% ($11.99) at least once during 14 trading days.
Median first touch: Day 8 of 14
Expiration Close Probability
11.4%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.76x
You are 1.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±4.5%
$10.90 — $11.94

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%.

-12.8% to -11.1%: 4 occurrences (0.8%) -12.0% -11.1% to -9.5%: 2 occurrences (0.4%) -9.5% to -7.8%: 11 occurrences (2.2%) -7.8% to -6.1%: 21 occurrences (4.1%) -6.9% -6.1% to -4.4%: 27 occurrences (5.3%) -4.4% to -2.7%: 40 occurrences (7.9%) -2.7% to -1.0%: 57 occurrences (11.2%) -1.9% -1.0% to +0.6%: 83 occurrences (16.3%) +0.6% to +2.3%: 105 occurrences (20.7%) +2.3% to +4.0%: 73 occurrences (14.4%) 3.2% +4.0% to +5.7%: 38 occurrences (7.5%) +5.7% to +7.4%: 15 occurrences (3.0%) +7.4% to +9.0%: 15 occurrences (3.0%) 8.2% +9.0% to +10.7%: 7 occurrences (1.4%) +10.7% to +12.4%: 5 occurrences (1.0%) +12.4% to +14.1%: 5 occurrences (1.0%) 13.2%
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) 20.1% 11.4% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 5.3% Adjusts normal bell curve for real-world skewness (0.29) and kurtosis (6.71).
Standard Normal (Black-Scholes / GBM) 28.0% 14.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 18.6% 9.8% Filters for historical windows that started with volatility similar to current 20-day HV (376 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 19.2%
  • Recent 20-Day HV: 18.0%
  • Parkinson Intraday Volatility: 16.0%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: +0.7%
  • Top 10% Move (90th percentile): +5.4%
  • Bottom 10% Move (10th percentile): -5.4%
  • Max Historical Gain (14d): +14.1%
  • Max Historical Loss (14d): -12.8%