Finance

EWZ Move Probability $42.51 -0.43 (-1.0%)

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)
43.9%
Stock touched +5.0% ($44.64) at least once during 14 trading days.
Median first touch: Day 7 of 14
Expiration Close Probability
30.1%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.46x
You are 1.5x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±6.2%
$39.89 — $45.13

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%.

-13.0% to -11.1%: 2 occurrences (0.4%) -12.0% -11.1% to -9.1%: 5 occurrences (1.0%) -9.1% to -7.2%: 31 occurrences (6.1%) -7.2% to -5.3%: 52 occurrences (10.2%) -6.3% -5.3% to -3.4%: 48 occurrences (9.4%) -3.4% to -1.4%: 45 occurrences (8.9%) -1.4% to +0.5%: 50 occurrences (9.8%) -0.5% +0.5% to +2.4%: 43 occurrences (8.5%) +2.4% to +4.3%: 57 occurrences (11.2%) +4.3% to +6.3%: 58 occurrences (11.4%) 5.3% +6.3% to +8.2%: 47 occurrences (9.3%) +8.2% to +10.1%: 20 occurrences (3.9%) +10.1% to +12.0%: 16 occurrences (3.1%) 11.1% +12.0% to +14.0%: 18 occurrences (3.5%) +14.0% to +15.9%: 12 occurrences (2.4%) +15.9% to +17.8%: 4 occurrences (0.8%) 16.9%
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) 43.9% 30.1% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 10.2% Adjusts normal bell curve for real-world skewness (0.33) and kurtosis (6.01).
Standard Normal (Black-Scholes / GBM) 42.9% 21.5% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 80.0% 66.7% Filters for historical windows that started with volatility similar to current 20-day HV (75 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 26.2%
  • Recent 20-Day HV: 47.8%
  • Parkinson Intraday Volatility: 17.5%
  • Vol Trend: Expanded (+82% vs baseline)

14-Day Return Quantiles

  • Median Return: +1.6%
  • Top 10% Move (90th percentile): +10.0%
  • Bottom 10% Move (10th percentile): -6.5%
  • Max Historical Gain (14d): +17.8%
  • Max Historical Loss (14d): -13.0%