Finance

EROC Move Probability $9.43 +0.79 (+9.1%)

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)
81.0%
Stock touched +5.0% ($9.90) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
26.6%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
3.05x
You are 3.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±25.3%
$7.04 — $11.82

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 79 historical windows (2026-06-10 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-34.6% to -27.9%: 7 occurrences (8.9%) -31.2% -27.9% to -21.2%: 10 occurrences (12.7%) -21.2% to -14.4%: 14 occurrences (17.7%) -14.4% to -7.7%: 14 occurrences (17.7%) -11.1% -7.7% to -1.0%: 8 occurrences (10.1%) -1.0% to +5.7%: 6 occurrences (7.6%) +5.7% to +12.4%: 4 occurrences (5.1%) 9.1% +12.4% to +19.1%: 6 occurrences (7.6%) +19.1% to +25.8%: 3 occurrences (3.8%) +25.8% to +32.6%: 2 occurrences (2.5%) 29.2% +32.6% to +39.3%: 0 occurrences (0.0%) +39.3% to +46.0%: 2 occurrences (2.5%) +46.0% to +52.7%: 0 occurrences (0.0%) 49.3% +52.7% to +59.4%: 1 occurrences (1.3%) +59.4% to +66.1%: 0 occurrences (0.0%) +66.1% to +72.8%: 2 occurrences (2.5%) 69.5%
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) 81.0% 26.6% Model-free reality across 79 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 41.0% Adjusts normal bell curve for real-world skewness (0.23) and kurtosis (-0.01).
Standard Normal (Black-Scholes / GBM) 84.7% 42.4% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 90.6% 34.4% Filters for historical windows that started with volatility similar to current 20-day HV (32 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 107.4%
  • Recent 20-Day HV: 88.9%
  • Parkinson Intraday Volatility: 85.0%
  • Vol Trend: Compressed (-17% vs baseline)

14-Day Return Quantiles

  • Median Return: -10.3%
  • Top 10% Move (90th percentile): +24.7%
  • Bottom 10% Move (10th percentile): -26.9%
  • Max Historical Gain (14d): +72.8%
  • Max Historical Loss (14d): -34.6%