Finance

EGBN Move Probability $32.99 +4.49 (+15.8%)

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)
55.2%
Stock touched +5.0% ($34.64) at least once during 14 trading days.
Median first touch: Day 5 of 14
Expiration Close Probability
31.8%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.73x
You are 1.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±10.3%
$29.58 — $36.40

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 509 historical windows (2024-09-23 to 2026-10-22). The colored bar indicates the win zone for +5.0%.

-26.1% to -22.5%: 5 occurrences (1.0%) -24.3% -22.5% to -18.9%: 13 occurrences (2.6%) -18.9% to -15.2%: 10 occurrences (2.0%) -15.2% to -11.6%: 22 occurrences (4.3%) -13.4% -11.6% to -8.0%: 28 occurrences (5.5%) -8.0% to -4.4%: 57 occurrences (11.2%) -4.4% to -0.8%: 80 occurrences (15.7%) -2.6% -0.8% to +2.8%: 97 occurrences (19.1%) +2.8% to +6.4%: 60 occurrences (11.8%) +6.4% to +10.0%: 47 occurrences (9.2%) 8.2% +10.0% to +13.6%: 27 occurrences (5.3%) +13.6% to +17.2%: 25 occurrences (4.9%) +17.2% to +20.8%: 9 occurrences (1.8%) 19.0% +20.8% to +24.4%: 14 occurrences (2.8%) +24.4% to +28.0%: 10 occurrences (2.0%) +28.0% to +31.6%: 5 occurrences (1.0%) 29.8%
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) 55.2% 31.8% Model-free reality across 509 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 10.8% Adjusts normal bell curve for real-world skewness (-0.61) and kurtosis (15.82).
Standard Normal (Black-Scholes / GBM) 63.6% 31.8% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 60.7% 36.5% Filters for historical windows that started with volatility similar to current 20-day HV (178 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 43.8%
  • Recent 20-Day HV: 55.7%
  • Parkinson Intraday Volatility: 29.4%
  • Vol Trend: Expanded (+27% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.8%
  • Top 10% Move (90th percentile): +15.2%
  • Bottom 10% Move (10th percentile): -11.3%
  • Max Historical Gain (14d): +31.6%
  • Max Historical Loss (14d): -26.1%