Finance

ELMD Move Probability $27.35 -0.04 (-0.1%)

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)
48.8%
Stock touched +5.0% ($28.72) at least once during 14 trading days.
Median first touch: Day 5 of 14
Expiration Close Probability
30.7%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.59x
You are 1.6x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±11.9%
$24.09 — $30.61

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%.

-35.9% to -30.5%: 10 occurrences (2.0%) -33.2% -30.5% to -25.1%: 4 occurrences (0.8%) -25.1% to -19.6%: 9 occurrences (1.8%) -19.6% to -14.2%: 24 occurrences (4.7%) -16.9% -14.2% to -8.7%: 38 occurrences (7.5%) -8.7% to -3.3%: 67 occurrences (13.2%) -3.3% to +2.1%: 133 occurrences (26.2%) -0.6% +2.1% to +7.6%: 103 occurrences (20.3%) +7.6% to +13.0%: 48 occurrences (9.4%) +13.0% to +18.5%: 25 occurrences (4.9%) 15.7% +18.5% to +23.9%: 17 occurrences (3.3%) +23.9% to +29.3%: 11 occurrences (2.2%) +29.3% to +34.8%: 6 occurrences (1.2%) 32.1% +34.8% to +40.2%: 3 occurrences (0.6%) +40.2% to +45.7%: 2 occurrences (0.4%) +45.7% to +51.1%: 8 occurrences (1.6%) 48.4%
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) 48.8% 30.7% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 18.1% Adjusts normal bell curve for real-world skewness (-0.04) and kurtosis (10.53).
Standard Normal (Black-Scholes / GBM) 68.2% 34.1% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 63.9% 47.2% Filters for historical windows that started with volatility similar to current 20-day HV (36 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 50.5%
  • Recent 20-Day HV: 20.0%
  • Parkinson Intraday Volatility: 27.7%
  • Vol Trend: Compressed (-60% vs baseline)

14-Day Return Quantiles

  • Median Return: +1.2%
  • Top 10% Move (90th percentile): +16.6%
  • Bottom 10% Move (10th percentile): -13.1%
  • Max Historical Gain (14d): +51.1%
  • Max Historical Loss (14d): -35.9%