Finance

EMYB Move Probability $21.00 -0.25 (-1.2%)

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)
11.7%
Stock touched +5.0% ($22.05) at least once during 14 trading days.
Median first touch: Day 9 of 14
Expiration Close Probability
8.0%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.46x
You are 1.5x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±2.3%
$20.51 — $21.49

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 487 historical windows (2024-10-22 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-5.9% to -4.9%: 4 occurrences (0.8%) -5.4% -4.9% to -3.9%: 14 occurrences (2.9%) -3.9% to -2.9%: 23 occurrences (4.7%) -2.9% to -2.0%: 17 occurrences (3.5%) -2.4% -2.0% to -1.0%: 41 occurrences (8.4%) -1.0% to -0.0%: 116 occurrences (23.8%) -0.0% to +1.0%: 64 occurrences (13.1%) 0.5% +1.0% to +1.9%: 50 occurrences (10.3%) +1.9% to +2.9%: 55 occurrences (11.3%) +2.9% to +3.9%: 22 occurrences (4.5%) 3.4% +3.9% to +4.9%: 40 occurrences (8.2%) +4.9% to +5.8%: 12 occurrences (2.5%) +5.8% to +6.8%: 14 occurrences (2.9%) 6.3% +6.8% to +7.8%: 6 occurrences (1.2%) +7.8% to +8.7%: 4 occurrences (0.8%) +8.7% to +9.7%: 5 occurrences (1.0%) 9.2%
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) 11.7% 8.0% Model-free reality across 487 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 29.3% Adjusts normal bell curve for real-world skewness (2.12) and kurtosis (10.86).
Standard Normal (Black-Scholes / GBM) 3.5% 1.8% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 9.9% 7.2% Filters for historical windows that started with volatility similar to current 20-day HV (181 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 9.8%
  • Recent 20-Day HV: 6.8%
  • Parkinson Intraday Volatility: 13.6%
  • Vol Trend: Compressed (-30% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.4%
  • Top 10% Move (90th percentile): +4.6%
  • Bottom 10% Move (10th percentile): -2.3%
  • Max Historical Gain (14d): +9.7%
  • Max Historical Loss (14d): -5.9%