Finance

EMPD Move Probability $3.02 +0.18 (+6.3%)

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)
70.3%
Stock touched +5.0% ($3.17) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
26.2%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.68x
You are 2.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±27.2%
$2.20 — $3.84

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%.

-73.2% to -55.1%: 12 occurrences (2.4%) -64.1% -55.1% to -37.0%: 11 occurrences (2.2%) -37.0% to -19.0%: 99 occurrences (19.5%) -19.0% to -0.9%: 185 occurrences (36.4%) -10.0% -0.9% to +17.1%: 150 occurrences (29.5%) +17.1% to +35.2%: 35 occurrences (6.9%) +35.2% to +53.3%: 5 occurrences (1.0%) 44.2% +53.3% to +71.3%: 4 occurrences (0.8%) +71.3% to +89.4%: 0 occurrences (0.0%) +89.4% to +107.4%: 2 occurrences (0.4%) 98.4% +107.4% to +125.5%: 1 occurrences (0.2%) +125.5% to +143.6%: 1 occurrences (0.2%) +143.6% to +161.6%: 2 occurrences (0.4%) 152.6% +161.6% to +179.7%: 0 occurrences (0.0%) +179.7% to +197.8%: 0 occurrences (0.0%) +197.8% to +215.8%: 1 occurrences (0.2%) 206.8%
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) 70.3% 26.2% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 11.5% Adjusts normal bell curve for real-world skewness (1.64) and kurtosis (37.09).
Standard Normal (Black-Scholes / GBM) 85.8% 42.9% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 68.4% 21.8% Filters for historical windows that started with volatility similar to current 20-day HV (285 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 115.5%
  • Recent 20-Day HV: 63.3%
  • Parkinson Intraday Volatility: 82.9%
  • Vol Trend: Compressed (-45% vs baseline)

14-Day Return Quantiles

  • Median Return: -4.8%
  • Top 10% Move (90th percentile): +17.1%
  • Bottom 10% Move (10th percentile): -28.4%
  • Max Historical Gain (14d): +215.8%
  • Max Historical Loss (14d): -73.2%