Finance

ETH Move Probability $22.86 -0.95 (-4.0%)

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)
18.2%
Stock touched +5.0% ($24.00) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
11.9%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
1.53x
You are 1.5x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±4.3%
$21.87 — $23.85

Historical 1-Day Return Distribution

Frequency of rolling 1-day percentage returns over 522 historical windows (2024-09-23 to 2026-10-22). The colored bar indicates the win zone for +5.0%.

-18.1% to -15.9%: 1 occurrences (0.2%) -17.0% -15.9% to -13.6%: 2 occurrences (0.4%) -13.6% to -11.4%: 2 occurrences (0.4%) -11.4% to -9.1%: 2 occurrences (0.4%) -10.3% -9.1% to -6.9%: 10 occurrences (1.9%) -6.9% to -4.7%: 37 occurrences (7.1%) -4.7% to -2.4%: 88 occurrences (16.9%) -3.5% -2.4% to -0.2%: 119 occurrences (22.8%) -0.2% to +2.1%: 119 occurrences (22.8%) +2.1% to +4.3%: 64 occurrences (12.3%) 3.2% +4.3% to +6.6%: 43 occurrences (8.2%) +6.6% to +8.8%: 18 occurrences (3.4%) +8.8% to +11.1%: 11 occurrences (2.1%) 9.9% +11.1% to +13.3%: 3 occurrences (0.6%) +13.3% to +15.5%: 2 occurrences (0.4%) +15.5% to +17.8%: 1 occurrences (0.2%) 16.7%
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) 18.2% 11.9% Model-free reality across 522 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 10.0% Adjusts normal bell curve for real-world skewness (-0.08) and kurtosis (1.79).
Standard Normal (Black-Scholes / GBM) 25.8% 12.9% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 4.8% 3.2% Filters for historical windows that started with volatility similar to current 20-day HV (62 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)

1-Day Return Quantiles

  • Median Return: -0.2%
  • Top 10% Move (90th percentile): +5.3%
  • Bottom 10% Move (10th percentile): -4.7%
  • Max Historical Gain (1d): +17.8%
  • Max Historical Loss (1d): -18.1%