Finance

EIC Move Probability $8.97 +0.07 (+0.8%)

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)
17.3%
Stock touched +5.0% ($9.42) at least once during 14 trading days.
Median first touch: Day 9 of 14
Expiration Close Probability
8.7%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.00x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±4.9%
$8.53 — $9.42

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%.

-13.0% to -11.2%: 2 occurrences (0.4%) -12.1% -11.2% to -9.5%: 7 occurrences (1.4%) -9.5% to -7.7%: 14 occurrences (2.8%) -7.7% to -6.0%: 41 occurrences (8.1%) -6.9% -6.0% to -4.3%: 46 occurrences (9.1%) -4.3% to -2.5%: 63 occurrences (12.4%) -2.5% to -0.8%: 68 occurrences (13.4%) -1.6% -0.8% to +1.0%: 89 occurrences (17.5%) +1.0% to +2.7%: 75 occurrences (14.8%) +2.7% to +4.4%: 48 occurrences (9.4%) 3.6% +4.4% to +6.2%: 28 occurrences (5.5%) +6.2% to +7.9%: 17 occurrences (3.3%) +7.9% to +9.7%: 5 occurrences (1.0%) 8.8% +9.7% to +11.4%: 2 occurrences (0.4%) +11.4% to +13.2%: 1 occurrences (0.2%) +13.2% to +14.9%: 2 occurrences (0.4%) 14.0%
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) 17.3% 8.7% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 1.1% Adjusts normal bell curve for real-world skewness (-2.15) and kurtosis (20.45).
Standard Normal (Black-Scholes / GBM) 32.2% 16.1% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 13.9% 8.7% Filters for historical windows that started with volatility similar to current 20-day HV (332 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 20.9%
  • Recent 20-Day HV: 20.5%
  • Parkinson Intraday Volatility: 12.2%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: -0.4%
  • Top 10% Move (90th percentile): +4.5%
  • Bottom 10% Move (10th percentile): -6.5%
  • Max Historical Gain (14d): +14.9%
  • Max Historical Loss (14d): -13.0%