Finance

ESNT Move Probability $64.12 -1.72 (-2.6%)

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)
34.3%
Stock touched +5.0% ($67.33) at least once during 14 trading days.
Median first touch: Day 8 of 14
Expiration Close Probability
20.1%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.71x
You are 1.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±5.7%
$60.46 — $67.79

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%.

-16.8% to -14.9%: 4 occurrences (0.8%) -15.9% -14.9% to -13.0%: 3 occurrences (0.6%) -13.0% to -11.1%: 2 occurrences (0.4%) -11.1% to -9.2%: 7 occurrences (1.4%) -10.1% -9.2% to -7.2%: 29 occurrences (5.7%) -7.2% to -5.3%: 36 occurrences (7.1%) -5.3% to -3.4%: 54 occurrences (10.6%) -4.4% -3.4% to -1.5%: 57 occurrences (11.2%) -1.5% to +0.4%: 59 occurrences (11.6%) +0.4% to +2.4%: 80 occurrences (15.7%) 1.4% +2.4% to +4.3%: 54 occurrences (10.6%) +4.3% to +6.2%: 51 occurrences (10.0%) +6.2% to +8.1%: 36 occurrences (7.1%) 7.1% +8.1% to +10.0%: 19 occurrences (3.7%) +10.0% to +11.9%: 14 occurrences (2.8%) +11.9% to +13.9%: 3 occurrences (0.6%) 12.9%
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) 34.3% 20.1% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 9.4% Adjusts normal bell curve for real-world skewness (-1.18) and kurtosis (7.83).
Standard Normal (Black-Scholes / GBM) 39.3% 19.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 40.7% 19.5% Filters for historical windows that started with volatility similar to current 20-day HV (123 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 24.2%
  • Recent 20-Day HV: 39.4%
  • Parkinson Intraday Volatility: 17.9%
  • Vol Trend: Expanded (+63% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.5%
  • Top 10% Move (90th percentile): +7.1%
  • Bottom 10% Move (10th percentile): -7.1%
  • Max Historical Gain (14d): +13.9%
  • Max Historical Loss (14d): -16.8%