Finance

ERNA Move Probability $2.13 +0.22 (+11.8%)

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)
65.6%
Stock touched +5.0% ($2.24) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
24.2%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.71x
You are 2.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±33.5%
$1.42 — $2.85

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%.

-77.1% to -58.3%: 21 occurrences (4.1%) -67.7% -58.3% to -39.4%: 41 occurrences (8.1%) -39.4% to -20.5%: 107 occurrences (21.1%) -20.5% to -1.6%: 162 occurrences (31.9%) -11.1% -1.6% to +17.3%: 119 occurrences (23.4%) +17.3% to +36.1%: 29 occurrences (5.7%) +36.1% to +55.0%: 11 occurrences (2.2%) 45.6% +55.0% to +73.9%: 1 occurrences (0.2%) +73.9% to +92.8%: 5 occurrences (1.0%) +92.8% to +111.7%: 2 occurrences (0.4%) 102.2% +111.7% to +130.5%: 1 occurrences (0.2%) +130.5% to +149.4%: 2 occurrences (0.4%) +149.4% to +168.3%: 2 occurrences (0.4%) 158.9% +168.3% to +187.2%: 1 occurrences (0.2%) +187.2% to +206.1%: 1 occurrences (0.2%) +206.1% to +224.9%: 3 occurrences (0.6%) 215.5%
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) 65.6% 24.2% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 34.9% Adjusts normal bell curve for real-world skewness (0.41) and kurtosis (9.85).
Standard Normal (Black-Scholes / GBM) 88.4% 44.2% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 65.6% 25.1% Filters for historical windows that started with volatility similar to current 20-day HV (311 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 142.0%
  • Recent 20-Day HV: 109.1%
  • Parkinson Intraday Volatility: 95.5%
  • Vol Trend: Compressed (-23% vs baseline)

14-Day Return Quantiles

  • Median Return: -11.7%
  • Top 10% Move (90th percentile): +22.4%
  • Bottom 10% Move (10th percentile): -40.8%
  • Max Historical Gain (14d): +224.9%
  • Max Historical Loss (14d): -77.1%