Finance

EVH Move Probability $4.84 -0.04 (-0.7%)

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)
65.0%
Stock touched +5.0% ($5.09) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
29.7%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.19x
You are 2.2x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±19.9%
$3.88 — $5.81

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%.

-51.8% to -44.8%: 19 occurrences (3.7%) -48.3% -44.8% to -37.7%: 10 occurrences (2.0%) -37.7% to -30.7%: 15 occurrences (3.0%) -30.7% to -23.6%: 20 occurrences (3.9%) -27.2% -23.6% to -16.6%: 35 occurrences (6.9%) -16.6% to -9.5%: 95 occurrences (18.7%) -9.5% to -2.5%: 82 occurrences (16.1%) -6.0% -2.5% to +4.6%: 78 occurrences (15.4%) +4.6% to +11.6%: 52 occurrences (10.2%) +11.6% to +18.6%: 26 occurrences (5.1%) 15.1% +18.6% to +25.7%: 19 occurrences (3.7%) +25.7% to +32.7%: 21 occurrences (4.1%) +32.7% to +39.8%: 18 occurrences (3.5%) 36.3% +39.8% to +46.8%: 9 occurrences (1.8%) +46.8% to +53.9%: 5 occurrences (1.0%) +53.9% to +60.9%: 4 occurrences (0.8%) 57.4%
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) 65.0% 29.7% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 29.4% Adjusts normal bell curve for real-world skewness (-2.77) and kurtosis (32.89).
Standard Normal (Black-Scholes / GBM) 80.7% 40.3% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 68.6% 34.6% Filters for historical windows that started with volatility similar to current 20-day HV (341 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 84.6%
  • Recent 20-Day HV: 69.7%
  • Parkinson Intraday Volatility: 63.2%
  • Vol Trend: Compressed (-18% vs baseline)

14-Day Return Quantiles

  • Median Return: -4.5%
  • Top 10% Move (90th percentile): +28.0%
  • Bottom 10% Move (10th percentile): -27.7%
  • Max Historical Gain (14d): +60.9%
  • Max Historical Loss (14d): -51.8%