Finance

ELSE Move Probability $7.74 +0.00 (+0.0%)

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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Touch Probability (First Passage)
32.2%
Stock touched +5.0% ($8.13) at least once during 14 trading days.
Median first touch: Day 7 of 14
Expiration Close Probability
22.2%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.45x
You are 1.4x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±12.9%
$6.74 — $8.74

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 451 historical windows (2024-09-23 to 2026-07-31). The colored bar indicates the win zone for +5.0%.

-21.2% to -15.1%: 1 occurrences (0.2%) -18.1% -15.1% to -9.1%: 31 occurrences (6.9%) -9.1% to -3.1%: 52 occurrences (11.5%) -3.1% to +3.0%: 247 occurrences (54.8%) -0.1% +3.0% to +9.0%: 56 occurrences (12.4%) +9.0% to +15.0%: 44 occurrences (9.8%) +15.0% to +21.1%: 6 occurrences (1.3%) 18.0% +21.1% to +27.1%: 0 occurrences (0.0%) +27.1% to +33.1%: 0 occurrences (0.0%) +33.1% to +39.2%: 0 occurrences (0.0%) 36.1% +39.2% to +45.2%: 0 occurrences (0.0%) +45.2% to +51.2%: 0 occurrences (0.0%) +51.2% to +57.2%: 0 occurrences (0.0%) 54.2% +57.2% to +63.3%: 0 occurrences (0.0%) +63.3% to +69.3%: 2 occurrences (0.4%) +69.3% to +75.3%: 12 occurrences (2.7%) 72.3%
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) 32.2% 22.2% Model-free reality across 451 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 0.0% Adjusts normal bell curve for real-world skewness (8.52) and kurtosis (148.92).
Standard Normal (Black-Scholes / GBM) 70.6% 35.3% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 54.8%
  • Recent 20-Day HV: 2.1%
  • Parkinson Intraday Volatility: 13.7%
  • Vol Trend: Compressed (-96% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.2%
  • Top 10% Move (90th percentile): +11.1%
  • Bottom 10% Move (10th percentile): -7.3%
  • Max Historical Gain (14d): +75.3%
  • Max Historical Loss (14d): -21.2%