Finance

ERAS Move Probability $14.50 -0.12 (-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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Touch Probability (First Passage)
85.4%
Stock touched +5.0% ($15.23) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
47.2%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.81x
You are 1.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±22.7%
$11.21 — $17.79

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%.

-53.5% to -38.3%: 13 occurrences (2.6%) -45.9% -38.3% to -23.1%: 18 occurrences (3.5%) -23.1% to -7.8%: 92 occurrences (18.1%) -7.8% to +7.4%: 173 occurrences (34.1%) -0.2% +7.4% to +22.7%: 107 occurrences (21.1%) +22.7% to +37.9%: 73 occurrences (14.4%) +37.9% to +53.1%: 15 occurrences (3.0%) 45.5% +53.1% to +68.4%: 2 occurrences (0.4%) +68.4% to +83.6%: 3 occurrences (0.6%) +83.6% to +98.9%: 2 occurrences (0.4%) 91.3% +98.9% to +114.1%: 1 occurrences (0.2%) +114.1% to +129.4%: 0 occurrences (0.0%) +129.4% to +144.6%: 0 occurrences (0.0%) 137.0% +144.6% to +159.8%: 1 occurrences (0.2%) +159.8% to +175.1%: 2 occurrences (0.4%) +175.1% to +190.3%: 6 occurrences (1.2%) 182.7%
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) 85.4% 47.2% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 27.4% Adjusts normal bell curve for real-world skewness (-1.82) and kurtosis (29.15).
Standard Normal (Black-Scholes / GBM) 83.0% 41.5% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 83.6% 44.4% Filters for historical windows that started with volatility similar to current 20-day HV (365 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 96.4%
  • Recent 20-Day HV: 66.2%
  • Parkinson Intraday Volatility: 80.7%
  • Vol Trend: Compressed (-31% vs baseline)

14-Day Return Quantiles

  • Median Return: +4.5%
  • Top 10% Move (90th percentile): +30.9%
  • Bottom 10% Move (10th percentile): -18.6%
  • Max Historical Gain (14d): +190.3%
  • Max Historical Loss (14d): -53.5%