Finance

EVI Move Probability $20.04 +0.39 (+2.0%)

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)
59.4%
Stock touched +5.0% ($21.04) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
31.7%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.88x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±12.1%
$17.61 — $22.47

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%.

-28.9% to -24.0%: 12 occurrences (2.4%) -26.5% -24.0% to -19.1%: 10 occurrences (2.0%) -19.1% to -14.1%: 31 occurrences (6.1%) -14.1% to -9.2%: 51 occurrences (10.0%) -11.6% -9.2% to -4.2%: 66 occurrences (13.0%) -4.2% to +0.7%: 84 occurrences (16.5%) +0.7% to +5.7%: 102 occurrences (20.1%) 3.2% +5.7% to +10.6%: 61 occurrences (12.0%) +10.6% to +15.5%: 43 occurrences (8.5%) +15.5% to +20.5%: 21 occurrences (4.1%) 18.0% +20.5% to +25.4%: 8 occurrences (1.6%) +25.4% to +30.4%: 7 occurrences (1.4%) +30.4% to +35.3%: 3 occurrences (0.6%) 32.8% +35.3% to +40.3%: 4 occurrences (0.8%) +40.3% to +45.2%: 1 occurrences (0.2%) +45.2% to +50.1%: 4 occurrences (0.8%) 47.7%
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) 59.4% 31.7% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 29.9% Adjusts normal bell curve for real-world skewness (0.12) and kurtosis (2.26).
Standard Normal (Black-Scholes / GBM) 68.7% 34.4% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 68.4% 21.3% Filters for historical windows that started with volatility similar to current 20-day HV (136 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 51.4%
  • Recent 20-Day HV: 31.5%
  • Parkinson Intraday Volatility: 22.1%
  • Vol Trend: Compressed (-39% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.8%
  • Top 10% Move (90th percentile): +15.2%
  • Bottom 10% Move (10th percentile): -14.5%
  • Max Historical Gain (14d): +50.1%
  • Max Historical Loss (14d): -28.9%