Finance

ETD Move Probability $19.76 -0.42 (-2.1%)

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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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
41.5%
Stock touched +5.0% ($20.75) at least once during 14 trading days.
Median first touch: Day 6 of 14
Expiration Close Probability
19.1%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.18x
You are 2.2x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±7.3%
$18.32 — $21.20

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%.

-20.9% to -18.7%: 1 occurrences (0.2%) -19.8% -18.7% to -16.4%: 2 occurrences (0.4%) -16.4% to -14.2%: 9 occurrences (1.8%) -14.2% to -11.9%: 6 occurrences (1.2%) -13.0% -11.9% to -9.7%: 8 occurrences (1.6%) -9.7% to -7.4%: 20 occurrences (3.9%) -7.4% to -5.1%: 58 occurrences (11.4%) -6.3% -5.1% to -2.9%: 63 occurrences (12.4%) -2.9% to -0.6%: 70 occurrences (13.8%) -0.6% to +1.6%: 72 occurrences (14.2%) 0.5% +1.6% to +3.9%: 74 occurrences (14.6%) +3.9% to +6.2%: 50 occurrences (9.8%) +6.2% to +8.4%: 33 occurrences (6.5%) 7.3% +8.4% to +10.7%: 27 occurrences (5.3%) +10.7% to +12.9%: 9 occurrences (1.8%) +12.9% to +15.2%: 6 occurrences (1.2%) 14.1%
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) 41.5% 19.1% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 15.2% Adjusts normal bell curve for real-world skewness (-0.42) and kurtosis (5.79).
Standard Normal (Black-Scholes / GBM) 50.4% 25.2% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 30.7% 11.1% Filters for historical windows that started with volatility similar to current 20-day HV (199 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 31.0%
  • Recent 20-Day HV: 19.9%
  • Parkinson Intraday Volatility: 21.2%
  • Vol Trend: Compressed (-36% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.0%
  • Top 10% Move (90th percentile): +7.4%
  • Bottom 10% Move (10th percentile): -7.1%
  • Max Historical Gain (14d): +15.2%
  • Max Historical Loss (14d): -20.9%