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)
0.6%
Stock touched +5.0% ($44.64) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
0.6%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
1.00x
You are 1.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±1.6%
$41.81 — $43.21

Historical 1-Day Return Distribution

Frequency of rolling 1-day percentage returns over 521 historical windows (2024-09-23 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-6.9% to -5.7%: 3 occurrences (0.6%) -6.3% -5.7% to -4.5%: 1 occurrences (0.2%) -4.5% to -3.3%: 7 occurrences (1.3%) -3.3% to -2.0%: 26 occurrences (5.0%) -2.7% -2.0% to -0.8%: 87 occurrences (16.7%) -0.8% to +0.4%: 174 occurrences (33.4%) +0.4% to +1.6%: 142 occurrences (27.3%) 1.0% +1.6% to +2.8%: 59 occurrences (11.3%) +2.8% to +4.0%: 14 occurrences (2.7%) +4.0% to +5.2%: 6 occurrences (1.2%) 4.6% +5.2% to +6.5%: 1 occurrences (0.2%) +6.5% to +7.7%: 0 occurrences (0.0%) +7.7% to +8.9%: 0 occurrences (0.0%) 8.3% +8.9% to +10.1%: 0 occurrences (0.0%) +10.1% to +11.3%: 0 occurrences (0.0%) +11.3% to +12.5%: 1 occurrences (0.2%) 11.9%
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) 0.6% 0.6% Model-free reality across 521 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 94.8% Adjusts normal bell curve for real-world skewness (0.33) and kurtosis (6.01).
Standard Normal (Black-Scholes / GBM) 0.3% 0.2% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 2.3% 2.3% Filters for historical windows that started with volatility similar to current 20-day HV (87 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)

1-Day Return Quantiles

  • Median Return: +0.0%
  • Top 10% Move (90th percentile): +2.0%
  • Bottom 10% Move (10th percentile): -1.7%
  • Max Historical Gain (1d): +12.5%
  • Max Historical Loss (1d): -6.9%