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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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
1.5%
Stock touched +5.0% ($100.51) at least once during 2 trading days.
Median first touch: Day 2 of 2
Expiration Close Probability
0.8%
Stock closed at or beyond +5.0% at the end of the 2-day window.
The Touch Multiple
2.00x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±1.8%
$93.99 — $97.45

Historical 2-Day Return Distribution

Frequency of rolling 2-day percentage returns over 520 historical windows (2024-09-23 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-9.8% to -8.7%: 1 occurrences (0.2%) -9.3% -8.7% to -7.6%: 0 occurrences (0.0%) -7.6% to -6.4%: 0 occurrences (0.0%) -6.4% to -5.3%: 2 occurrences (0.4%) -5.9% -5.3% to -4.2%: 2 occurrences (0.4%) -4.2% to -3.0%: 11 occurrences (2.1%) -3.0% to -1.9%: 33 occurrences (6.3%) -2.5% -1.9% to -0.8%: 76 occurrences (14.6%) -0.8% to +0.3%: 164 occurrences (31.5%) +0.3% to +1.5%: 134 occurrences (25.8%) 0.9% +1.5% to +2.6%: 68 occurrences (13.1%) +2.6% to +3.7%: 14 occurrences (2.7%) +3.7% to +4.9%: 11 occurrences (2.1%) 4.3% +4.9% to +6.0%: 1 occurrences (0.2%) +6.0% to +7.1%: 2 occurrences (0.4%) +7.1% to +8.3%: 1 occurrences (0.2%) 7.7%
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) 1.5% 0.8% Model-free reality across 520 historical 2-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 19.3% Adjusts normal bell curve for real-world skewness (0.06) and kurtosis (3.67).
Standard Normal (Black-Scholes / GBM) 0.7% 0.3% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 0.9% 0.6% Filters for historical windows that started with volatility similar to current 20-day HV (327 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)

2-Day Return Quantiles

  • Median Return: +0.2%
  • Top 10% Move (90th percentile): +2.1%
  • Bottom 10% Move (10th percentile): -1.8%
  • Max Historical Gain (2d): +8.3%
  • Max Historical Loss (2d): -9.8%