Finance

EWJ Move Probability $95.72 +0.29 (+0.3%)

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)
23.6%
Stock touched +5.0% ($100.51) at least once during 14 trading days.
Median first touch: Day 8 of 14
Expiration Close Probability
13.4%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.76x
You are 1.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±4.8%
$91.14 — $100.30

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%.

-13.9% to -12.0%: 3 occurrences (0.6%) -13.0% -12.0% to -10.1%: 0 occurrences (0.0%) -10.1% to -8.1%: 6 occurrences (1.2%) -8.1% to -6.2%: 12 occurrences (2.4%) -7.1% -6.2% to -4.2%: 20 occurrences (3.9%) -4.2% to -2.3%: 29 occurrences (5.7%) -2.3% to -0.4%: 90 occurrences (17.7%) -1.3% -0.4% to +1.6%: 125 occurrences (24.6%) +1.6% to +3.5%: 110 occurrences (21.7%) +3.5% to +5.5%: 59 occurrences (11.6%) 4.5% +5.5% to +7.4%: 30 occurrences (5.9%) +7.4% to +9.4%: 14 occurrences (2.8%) +9.4% to +11.3%: 7 occurrences (1.4%) 10.3% +11.3% to +13.2%: 0 occurrences (0.0%) +13.2% to +15.2%: 1 occurrences (0.2%) +15.2% to +17.1%: 2 occurrences (0.4%) 16.2%
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) 23.6% 13.4% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 9.3% Adjusts normal bell curve for real-world skewness (0.06) and kurtosis (3.67).
Standard Normal (Black-Scholes / GBM) 30.8% 15.4% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 19.7% 9.5% Filters for historical windows that started with volatility similar to current 20-day HV (315 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 20.3%
  • Recent 20-Day HV: 15.1%
  • Parkinson Intraday Volatility: 11.3%
  • Vol Trend: Compressed (-25% vs baseline)

14-Day Return Quantiles

  • Median Return: +1.2%
  • Top 10% Move (90th percentile): +5.6%
  • Bottom 10% Move (10th percentile): -3.2%
  • Max Historical Gain (14d): +17.1%
  • Max Historical Loss (14d): -13.9%