Finance

EHTH Move Probability $0.57 +0.00 (+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.

← Back to EHTH Options chain →
Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
65.6%
Stock touched +5.0% ($0.60) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
28.7%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.28x
You are 2.3x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±21.4%
$0.45 — $0.69

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%.

-52.9% to -44.2%: 8 occurrences (1.6%) -48.5% -44.2% to -35.5%: 8 occurrences (1.6%) -35.5% to -26.8%: 24 occurrences (4.7%) -26.8% to -18.1%: 69 occurrences (13.6%) -22.5% -18.1% to -9.4%: 93 occurrences (18.3%) -9.4% to -0.8%: 98 occurrences (19.3%) -0.8% to +7.9%: 84 occurrences (16.5%) 3.6% +7.9% to +16.6%: 60 occurrences (11.8%) +16.6% to +25.3%: 32 occurrences (6.3%) +25.3% to +34.0%: 7 occurrences (1.4%) 29.6% +34.0% to +42.7%: 9 occurrences (1.8%) +42.7% to +51.4%: 7 occurrences (1.4%) +51.4% to +60.0%: 5 occurrences (1.0%) 55.7% +60.0% to +68.7%: 1 occurrences (0.2%) +68.7% to +77.4%: 1 occurrences (0.2%) +77.4% to +86.1%: 2 occurrences (0.4%) 81.8%
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) 65.6% 28.7% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 27.5% Adjusts normal bell curve for real-world skewness (0.54) and kurtosis (10.5).
Standard Normal (Black-Scholes / GBM) 82.0% 41.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 63.3% 26.9% Filters for historical windows that started with volatility similar to current 20-day HV (305 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 90.7%
  • Recent 20-Day HV: 61.9%
  • Parkinson Intraday Volatility: 64.4%
  • Vol Trend: Compressed (-32% vs baseline)

14-Day Return Quantiles

  • Median Return: -4.4%
  • Top 10% Move (90th percentile): +19.0%
  • Bottom 10% Move (10th percentile): -24.4%
  • Max Historical Gain (14d): +86.1%
  • Max Historical Loss (14d): -52.9%