Finance

EXFY Move Probability $2.60 +0.05 (+2.0%)

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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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
62.8%
Stock touched +5.0% ($2.73) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
35.0%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.79x
You are 1.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±17.2%
$2.15 — $3.05

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%.

-40.8% to -33.0%: 6 occurrences (1.2%) -36.9% -33.0% to -25.1%: 5 occurrences (1.0%) -25.1% to -17.3%: 35 occurrences (6.9%) -17.3% to -9.4%: 82 occurrences (16.1%) -13.3% -9.4% to -1.6%: 118 occurrences (23.2%) -1.6% to +6.3%: 99 occurrences (19.5%) +6.3% to +14.1%: 81 occurrences (15.9%) 10.2% +14.1% to +22.0%: 25 occurrences (4.9%) +22.0% to +29.9%: 14 occurrences (2.8%) +29.9% to +37.7%: 16 occurrences (3.1%) 33.8% +37.7% to +45.6%: 10 occurrences (2.0%) +45.6% to +53.4%: 6 occurrences (1.2%) +53.4% to +61.3%: 1 occurrences (0.2%) 57.3% +61.3% to +69.1%: 6 occurrences (1.2%) +69.1% to +77.0%: 2 occurrences (0.4%) +77.0% to +84.8%: 2 occurrences (0.4%) 80.9%
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) 62.8% 35.0% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 22.9% Adjusts normal bell curve for real-world skewness (0.68) and kurtosis (10.83).
Standard Normal (Black-Scholes / GBM) 77.7% 38.8% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 55.5% 28.8% Filters for historical windows that started with volatility similar to current 20-day HV (274 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 73.1%
  • Recent 20-Day HV: 51.6%
  • Parkinson Intraday Volatility: 56.8%
  • Vol Trend: Compressed (-29% vs baseline)

14-Day Return Quantiles

  • Median Return: -0.8%
  • Top 10% Move (90th percentile): +26.4%
  • Bottom 10% Move (10th percentile): -16.5%
  • Max Historical Gain (14d): +84.8%
  • Max Historical Loss (14d): -40.8%