Finance

ELAN Move Probability $22.55 -0.13 (-0.6%)

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)
60.6%
Stock touched +5.0% ($23.68) at least once during 14 trading days.
Median first touch: Day 5 of 14
Expiration Close Probability
30.5%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.99x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±10.7%
$20.14 — $24.97

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%.

-25.0% to -20.4%: 3 occurrences (0.6%) -22.7% -20.4% to -15.8%: 6 occurrences (1.2%) -15.8% to -11.3%: 22 occurrences (4.3%) -11.3% to -6.7%: 51 occurrences (10.0%) -9.0% -6.7% to -2.1%: 102 occurrences (20.1%) -2.1% to +2.4%: 101 occurrences (19.9%) +2.4% to +7.0%: 109 occurrences (21.5%) 4.7% +7.0% to +11.6%: 62 occurrences (12.2%) +11.6% to +16.1%: 24 occurrences (4.7%) +16.1% to +20.7%: 4 occurrences (0.8%) 18.4% +20.7% to +25.3%: 6 occurrences (1.2%) +25.3% to +29.8%: 4 occurrences (0.8%) +29.8% to +34.4%: 3 occurrences (0.6%) 32.1% +34.4% to +39.0%: 6 occurrences (1.2%) +39.0% to +43.5%: 2 occurrences (0.4%) +43.5% to +48.1%: 3 occurrences (0.6%) 45.8%
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) 60.6% 30.5% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 12.2% Adjusts normal bell curve for real-world skewness (1.35) and kurtosis (11.97).
Standard Normal (Black-Scholes / GBM) 64.9% 32.4% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 68.5% 32.0% Filters for historical windows that started with volatility similar to current 20-day HV (219 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 45.4%
  • Recent 20-Day HV: 26.7%
  • Parkinson Intraday Volatility: 36.1%
  • Vol Trend: Compressed (-41% vs baseline)

14-Day Return Quantiles

  • Median Return: +1.0%
  • Top 10% Move (90th percentile): +11.6%
  • Bottom 10% Move (10th percentile): -9.2%
  • Max Historical Gain (14d): +48.1%
  • Max Historical Loss (14d): -25.0%