Finance

EPM Move Probability $3.72 -0.03 (-0.8%)

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)
51.3%
Stock touched +5.0% ($3.91) at least once during 14 trading days.
Median first touch: Day 5 of 14
Expiration Close Probability
25.5%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.01x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±8.6%
$3.40 — $4.04

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 509 historical windows (2024-09-23 to 2026-10-22). The colored bar indicates the win zone for +5.0%.

-19.5% to -17.0%: 2 occurrences (0.4%) -18.3% -17.0% to -14.5%: 9 occurrences (1.8%) -14.5% to -12.0%: 20 occurrences (3.9%) -12.0% to -9.5%: 23 occurrences (4.5%) -10.7% -9.5% to -6.9%: 44 occurrences (8.6%) -6.9% to -4.4%: 64 occurrences (12.6%) -4.4% to -1.9%: 55 occurrences (10.8%) -3.2% -1.9% to +0.6%: 62 occurrences (12.2%) +0.6% to +3.1%: 61 occurrences (12.0%) +3.1% to +5.6%: 55 occurrences (10.8%) 4.4% +5.6% to +8.1%: 46 occurrences (9.0%) +8.1% to +10.7%: 24 occurrences (4.7%) +10.7% to +13.2%: 17 occurrences (3.3%) 11.9% +13.2% to +15.7%: 14 occurrences (2.8%) +15.7% to +18.2%: 8 occurrences (1.6%) +18.2% to +20.7%: 5 occurrences (1.0%) 19.5%
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) 51.3% 25.5% Model-free reality across 509 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 23.8% Adjusts normal bell curve for real-world skewness (-0.81) and kurtosis (4.4).
Standard Normal (Black-Scholes / GBM) 56.9% 28.4% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 48.5% 28.5% Filters for historical windows that started with volatility similar to current 20-day HV (130 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 36.3%
  • Recent 20-Day HV: 21.3%
  • Parkinson Intraday Volatility: 26.5%
  • Vol Trend: Compressed (-41% vs baseline)

14-Day Return Quantiles

  • Median Return: -0.6%
  • Top 10% Move (90th percentile): +9.4%
  • Bottom 10% Move (10th percentile): -9.9%
  • Max Historical Gain (14d): +20.7%
  • Max Historical Loss (14d): -19.5%