Finance

EZRA Move Probability $2.31 -0.07 (-2.9%)

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)
61.0%
Stock touched +5.0% ($2.43) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
22.4%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.72x
You are 2.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±30.9%
$1.60 — $3.02

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%.

-68.6% to -55.3%: 11 occurrences (2.2%) -62.0% -55.3% to -41.9%: 23 occurrences (4.5%) -41.9% to -28.6%: 57 occurrences (11.2%) -28.6% to -15.3%: 119 occurrences (23.4%) -21.9% -15.3% to -1.9%: 130 occurrences (25.6%) -1.9% to +11.4%: 88 occurrences (17.3%) +11.4% to +24.8%: 49 occurrences (9.6%) 18.1% +24.8% to +38.1%: 16 occurrences (3.1%) +38.1% to +51.4%: 5 occurrences (1.0%) +51.4% to +64.8%: 2 occurrences (0.4%) 58.1% +64.8% to +78.1%: 4 occurrences (0.8%) +78.1% to +91.5%: 2 occurrences (0.4%) +91.5% to +104.8%: 1 occurrences (0.2%) 98.1% +104.8% to +118.2%: 0 occurrences (0.0%) +118.2% to +131.5%: 0 occurrences (0.0%) +131.5% to +144.8%: 1 occurrences (0.2%) 138.2%
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) 61.0% 22.4% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 30.4% Adjusts normal bell curve for real-world skewness (0.86) and kurtosis (11.78).
Standard Normal (Black-Scholes / GBM) 87.4% 43.7% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 58.0% 18.7% Filters for historical windows that started with volatility similar to current 20-day HV (257 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 130.9%
  • Recent 20-Day HV: 104.1%
  • Parkinson Intraday Volatility: 99.7%
  • Vol Trend: Compressed (-20% vs baseline)

14-Day Return Quantiles

  • Median Return: -11.7%
  • Top 10% Move (90th percentile): +15.4%
  • Bottom 10% Move (10th percentile): -36.0%
  • Max Historical Gain (14d): +144.8%
  • Max Historical Loss (14d): -68.6%