Finance

EGY Move Probability $6.25 +0.01 (+0.2%)

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)
60.4%
Stock touched +5.0% ($6.56) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
28.5%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.12x
You are 2.1x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±10.7%
$5.58 — $6.92

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%.

-23.2% to -19.0%: 3 occurrences (0.6%) -21.1% -19.0% to -14.9%: 8 occurrences (1.6%) -14.9% to -10.7%: 36 occurrences (7.1%) -10.7% to -6.5%: 72 occurrences (14.2%) -8.6% -6.5% to -2.3%: 83 occurrences (16.3%) -2.3% to +1.9%: 101 occurrences (19.9%) +1.9% to +6.1%: 78 occurrences (15.4%) 4.0% +6.1% to +10.3%: 55 occurrences (10.8%) +10.3% to +14.5%: 37 occurrences (7.3%) +14.5% to +18.6%: 12 occurrences (2.4%) 16.6% +18.6% to +22.8%: 9 occurrences (1.8%) +22.8% to +27.0%: 1 occurrences (0.2%) +27.0% to +31.2%: 6 occurrences (1.2%) 29.1% +31.2% to +35.4%: 4 occurrences (0.8%) +35.4% to +39.6%: 0 occurrences (0.0%) +39.6% to +43.8%: 3 occurrences (0.6%) 41.7%
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) 60.4% 28.5% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 28.2% Adjusts normal bell curve for real-world skewness (0.14) and kurtosis (1.99).
Standard Normal (Black-Scholes / GBM) 64.9% 32.5% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 58.6% 21.7% Filters for historical windows that started with volatility similar to current 20-day HV (249 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 45.5%
  • Recent 20-Day HV: 31.1%
  • Parkinson Intraday Volatility: 34.3%
  • Vol Trend: Compressed (-32% vs baseline)

14-Day Return Quantiles

  • Median Return: -0.1%
  • Top 10% Move (90th percentile): +12.3%
  • Bottom 10% Move (10th percentile): -10.2%
  • Max Historical Gain (14d): +43.8%
  • Max Historical Loss (14d): -23.2%