Finance

EWG Move Probability $41.70 +0.26 (+0.6%)

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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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
21.7%
Stock touched +5.0% ($43.79) at least once during 14 trading days.
Median first touch: Day 8 of 14
Expiration Close Probability
16.1%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.34x
You are 1.3x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±4.4%
$39.86 — $43.54

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%.

-14.9% to -12.7%: 2 occurrences (0.4%) -13.8% -12.7% to -10.6%: 3 occurrences (0.6%) -10.6% to -8.4%: 3 occurrences (0.6%) -8.4% to -6.3%: 9 occurrences (1.8%) -7.4% -6.3% to -4.2%: 23 occurrences (4.5%) -4.2% to -2.0%: 84 occurrences (16.5%) -2.0% to +0.1%: 108 occurrences (21.3%) -1.0% +0.1% to +2.2%: 105 occurrences (20.7%) +2.2% to +4.4%: 77 occurrences (15.2%) +4.4% to +6.5%: 52 occurrences (10.2%) 5.4% +6.5% to +8.6%: 25 occurrences (4.9%) +8.6% to +10.8%: 11 occurrences (2.2%) +10.8% to +12.9%: 2 occurrences (0.4%) 11.8% +12.9% to +15.0%: 2 occurrences (0.4%) +15.0% to +17.2%: 0 occurrences (0.0%) +17.2% to +19.3%: 2 occurrences (0.4%) 18.3%
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) 21.7% 16.1% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 4.6% Adjusts normal bell curve for real-world skewness (0.34) and kurtosis (7.29).
Standard Normal (Black-Scholes / GBM) 26.8% 13.4% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 20.7% 14.5% Filters for historical windows that started with volatility similar to current 20-day HV (338 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 18.7%
  • Recent 20-Day HV: 14.0%
  • Parkinson Intraday Volatility: 10.8%
  • Vol Trend: Compressed (-25% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.5%
  • Top 10% Move (90th percentile): +6.2%
  • Bottom 10% Move (10th percentile): -3.7%
  • Max Historical Gain (14d): +19.3%
  • Max Historical Loss (14d): -14.9%