Finance

ETH Move Probability $22.81 -1.00 (-4.2%)

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)
69.7%
Stock touched +5.0% ($23.95) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
35.8%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.95x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±16.1%
$19.13 — $26.49

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 509 historical windows (2024-09-23 to 2026-10-22). The colored bar indicates the win zone for +5.0%.

-43.2% to -37.2%: 2 occurrences (0.4%) -40.2% -37.2% to -31.2%: 7 occurrences (1.4%) -31.2% to -25.2%: 16 occurrences (3.1%) -25.2% to -19.2%: 26 occurrences (5.1%) -22.2% -19.2% to -13.1%: 34 occurrences (6.7%) -13.1% to -7.1%: 74 occurrences (14.5%) -7.1% to -1.1%: 92 occurrences (18.1%) -4.1% -1.1% to +4.9%: 76 occurrences (14.9%) +4.9% to +10.9%: 63 occurrences (12.4%) +10.9% to +16.9%: 34 occurrences (6.7%) 13.9% +16.9% to +23.0%: 20 occurrences (3.9%) +23.0% to +29.0%: 25 occurrences (4.9%) +29.0% to +35.0%: 15 occurrences (2.9%) 32.0% +35.0% to +41.0%: 10 occurrences (2.0%) +41.0% to +47.0%: 8 occurrences (1.6%) +47.0% to +53.1%: 7 occurrences (1.4%) 50.0%
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) 69.7% 35.8% Model-free reality across 509 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 36.1% Adjusts normal bell curve for real-world skewness (-0.08) and kurtosis (1.79).
Standard Normal (Black-Scholes / GBM) 76.2% 38.1% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 38.5% 30.8% Filters for historical windows that started with volatility similar to current 20-day HV (52 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 68.5%
  • Recent 20-Day HV: 33.6%
  • Parkinson Intraday Volatility: 39.3%
  • Vol Trend: Compressed (-51% vs baseline)

14-Day Return Quantiles

  • Median Return: -1.0%
  • Top 10% Move (90th percentile): +25.1%
  • Bottom 10% Move (10th percentile): -19.1%
  • Max Historical Gain (14d): +53.1%
  • Max Historical Loss (14d): -43.2%