Finance

EFOI Move Probability $2.71 +0.00 (+0.0%)

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)
56.5%
Stock touched +5.0% ($2.85) at least once during 14 trading days.
Median first touch: Day 5 of 14
Expiration Close Probability
31.3%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.81x
You are 1.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±34.4%
$1.78 — $3.64

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%.

-82.1% to -63.4%: 14 occurrences (2.8%) -72.8% -63.4% to -44.6%: 0 occurrences (0.0%) -44.6% to -25.9%: 6 occurrences (1.2%) -25.9% to -7.2%: 132 occurrences (26.0%) -16.5% -7.2% to +11.6%: 283 occurrences (55.7%) +11.6% to +30.3%: 57 occurrences (11.2%) +30.3% to +49.1%: 2 occurrences (0.4%) 39.7% +49.1% to +67.8%: 1 occurrences (0.2%) +67.8% to +86.6%: 1 occurrences (0.2%) +86.6% to +105.3%: 3 occurrences (0.6%) 96.0% +105.3% to +124.1%: 3 occurrences (0.6%) +124.1% to +142.8%: 3 occurrences (0.6%) +142.8% to +161.6%: 1 occurrences (0.2%) 152.2% +161.6% to +180.3%: 1 occurrences (0.2%) +180.3% to +199.1%: 0 occurrences (0.0%) +199.1% to +217.8%: 1 occurrences (0.2%) 208.4%
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) 56.5% 31.3% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 1.1% Adjusts normal bell curve for real-world skewness (-2.32) and kurtosis (150.09).
Standard Normal (Black-Scholes / GBM) 88.7% 44.4% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 52.0% 31.0% Filters for historical windows that started with volatility similar to current 20-day HV (281 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 146.0%
  • Recent 20-Day HV: 76.6%
  • Parkinson Intraday Volatility: 49.0%
  • Vol Trend: Compressed (-48% vs baseline)

14-Day Return Quantiles

  • Median Return: -1.6%
  • Top 10% Move (90th percentile): +14.5%
  • Bottom 10% Move (10th percentile): -16.5%
  • Max Historical Gain (14d): +217.8%
  • Max Historical Loss (14d): -82.1%