Finance

EWU Move Probability $47.69 -0.05 (-0.1%)

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)
8.7%
Stock touched +5.0% ($50.07) at least once during 14 trading days.
Median first touch: Day 10 of 14
Expiration Close Probability
6.3%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.38x
You are 1.4x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±3.6%
$45.98 — $49.40

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%.

-12.6% to -10.8%: 2 occurrences (0.4%) -11.7% -10.8% to -9.1%: 0 occurrences (0.0%) -9.1% to -7.3%: 4 occurrences (0.8%) -7.3% to -5.6%: 3 occurrences (0.6%) -6.4% -5.6% to -3.8%: 21 occurrences (4.1%) -3.8% to -2.1%: 52 occurrences (10.2%) -2.1% to -0.3%: 77 occurrences (15.2%) -1.2% -0.3% to +1.4%: 126 occurrences (24.8%) +1.4% to +3.2%: 112 occurrences (22.0%) +3.2% to +5.0%: 79 occurrences (15.6%) 4.1% +5.0% to +6.7%: 19 occurrences (3.7%) +6.7% to +8.5%: 6 occurrences (1.2%) +8.5% to +10.2%: 5 occurrences (1.0%) 9.3% +10.2% to +12.0%: 0 occurrences (0.0%) +12.0% to +13.7%: 0 occurrences (0.0%) +13.7% to +15.5%: 2 occurrences (0.4%) 14.6%
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) 8.7% 6.3% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 2.0% Adjusts normal bell curve for real-world skewness (-0.66) and kurtosis (9.39).
Standard Normal (Black-Scholes / GBM) 17.3% 8.7% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 5.7% 3.6% Filters for historical windows that started with volatility similar to current 20-day HV (385 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 15.2%
  • Recent 20-Day HV: 12.6%
  • Parkinson Intraday Volatility: 9.0%
  • Vol Trend: Compressed (-17% vs baseline)

14-Day Return Quantiles

  • Median Return: +1.0%
  • Top 10% Move (90th percentile): +4.2%
  • Bottom 10% Move (10th percentile): -2.9%
  • Max Historical Gain (14d): +15.5%
  • Max Historical Loss (14d): -12.6%