Finance

ESLA Move Probability $0.54 +0.14 (+35.5%)

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)
60.0%
Stock touched +5.0% ($0.57) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
27.8%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.16x
You are 2.2x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±25.7%
$0.40 — $0.68

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%.

-49.9% to -40.6%: 3 occurrences (0.6%) -45.3% -40.6% to -31.3%: 27 occurrences (5.3%) -31.3% to -22.0%: 44 occurrences (8.7%) -22.0% to -12.6%: 65 occurrences (12.8%) -17.3% -12.6% to -3.3%: 144 occurrences (28.3%) -3.3% to +6.0%: 91 occurrences (17.9%) +6.0% to +15.3%: 35 occurrences (6.9%) 10.7% +15.3% to +24.6%: 32 occurrences (6.3%) +24.6% to +34.0%: 18 occurrences (3.5%) +34.0% to +43.3%: 12 occurrences (2.4%) 38.6% +43.3% to +52.6%: 7 occurrences (1.4%) +52.6% to +61.9%: 4 occurrences (0.8%) +61.9% to +71.2%: 8 occurrences (1.6%) 66.6% +71.2% to +80.5%: 12 occurrences (2.4%) +80.5% to +89.9%: 4 occurrences (0.8%) +89.9% to +99.2%: 2 occurrences (0.4%) 94.5%
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) 60.0% 27.8% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 30.4% Adjusts normal bell curve for real-world skewness (0.82) and kurtosis (8.97).
Standard Normal (Black-Scholes / GBM) 84.9% 42.5% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 76.9% 15.4% Filters for historical windows that started with volatility similar to current 20-day HV (26 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 109.0%
  • Recent 20-Day HV: 250.7%
  • Parkinson Intraday Volatility: 80.7%
  • Vol Trend: Expanded (+130% vs baseline)

14-Day Return Quantiles

  • Median Return: -5.2%
  • Top 10% Move (90th percentile): +31.7%
  • Bottom 10% Move (10th percentile): -25.9%
  • Max Historical Gain (14d): +99.2%
  • Max Historical Loss (14d): -49.9%