Finance

ETOR Move Probability $24.33 -0.05 (-0.2%)

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)
52.0%
Stock touched +5.0% ($25.55) at least once during 14 trading days.
Median first touch: Day 3 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
2.59x
You are 2.6x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±12.5%
$21.30 — $27.36

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 348 historical windows (2025-05-14 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-27.9% to -24.0%: 7 occurrences (2.0%) -25.9% -24.0% to -20.1%: 13 occurrences (3.7%) -20.1% to -16.1%: 11 occurrences (3.2%) -16.1% to -12.2%: 34 occurrences (9.8%) -14.2% -12.2% to -8.3%: 43 occurrences (12.4%) -8.3% to -4.4%: 62 occurrences (17.8%) -4.4% to -0.5%: 57 occurrences (16.4%) -2.4% -0.5% to +3.4%: 38 occurrences (10.9%) +3.4% to +7.4%: 26 occurrences (7.5%) +7.4% to +11.3%: 21 occurrences (6.0%) 9.3% +11.3% to +15.2%: 15 occurrences (4.3%) +15.2% to +19.1%: 5 occurrences (1.4%) +19.1% to +23.0%: 7 occurrences (2.0%) 21.1% +23.0% to +26.9%: 6 occurrences (1.7%) +26.9% to +30.9%: 2 occurrences (0.6%) +30.9% to +34.8%: 1 occurrences (0.3%) 32.8%
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) 52.0% 20.1% Model-free reality across 348 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 26.8% Adjusts normal bell curve for real-world skewness (0.53) and kurtosis (3.62).
Standard Normal (Black-Scholes / GBM) 69.6% 34.8% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 35.6% 30.5% Filters for historical windows that started with volatility similar to current 20-day HV (59 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 52.9%
  • Recent 20-Day HV: 29.1%
  • Parkinson Intraday Volatility: 45.1%
  • Vol Trend: Compressed (-45% vs baseline)

14-Day Return Quantiles

  • Median Return: -4.2%
  • Top 10% Move (90th percentile): +11.3%
  • Bottom 10% Move (10th percentile): -15.3%
  • Max Historical Gain (14d): +34.8%
  • Max Historical Loss (14d): -27.9%