Finance

EML Move Probability $24.61 +0.99 (+4.2%)

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)
44.4%
Stock touched +5.0% ($25.85) at least once during 14 trading days.
Median first touch: Day 6 of 14
Expiration Close Probability
27.6%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.61x
You are 1.6x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±8.7%
$22.47 — $26.76

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 507 historical windows (2024-09-23 to 2026-10-20). The colored bar indicates the win zone for +5.0%.

-25.3% to -21.4%: 5 occurrences (1.0%) -23.3% -21.4% to -17.5%: 6 occurrences (1.2%) -17.5% to -13.6%: 13 occurrences (2.6%) -13.6% to -9.7%: 27 occurrences (5.3%) -11.6% -9.7% to -5.8%: 74 occurrences (14.6%) -5.8% to -1.8%: 99 occurrences (19.5%) -1.8% to +2.1%: 82 occurrences (16.2%) 0.1% +2.1% to +6.0%: 96 occurrences (18.9%) +6.0% to +9.9%: 62 occurrences (12.2%) +9.9% to +13.8%: 23 occurrences (4.5%) 11.8% +13.8% to +17.7%: 9 occurrences (1.8%) +17.7% to +21.6%: 3 occurrences (0.6%) +21.6% to +25.5%: 4 occurrences (0.8%) 23.6% +25.5% to +29.4%: 1 occurrences (0.2%) +29.4% to +33.3%: 1 occurrences (0.2%) +33.3% to +37.2%: 2 occurrences (0.4%) 35.3%
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) 44.4% 27.6% Model-free reality across 507 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 17.9% Adjusts normal bell curve for real-world skewness (-0.02) and kurtosis (5.74).
Standard Normal (Black-Scholes / GBM) 57.5% 28.8% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 43.4% 27.9% Filters for historical windows that started with volatility similar to current 20-day HV (387 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 36.9%
  • Recent 20-Day HV: 34.5%
  • Parkinson Intraday Volatility: 12.6%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: -0.3%
  • Top 10% Move (90th percentile): +9.1%
  • Bottom 10% Move (10th percentile): -9.5%
  • Max Historical Gain (14d): +37.2%
  • Max Historical Loss (14d): -25.3%