Finance

JEPI Move Probability $57.25 -0.10 (-0.2%)

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)
1.2%
Stock touched +5.0% ($60.11) at least once during 14 trading days.
Median first touch: Day 6 of 14
Expiration Close Probability
1.0%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.20x
You are 1.2x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±2.6%
$55.78 — $58.72

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 509 historical windows (2024-09-23 to 2026-10-22). The colored bar indicates the win zone for +5.0%.

-10.2% to -9.1%: 1 occurrences (0.2%) -9.6% -9.1% to -7.9%: 2 occurrences (0.4%) -7.9% to -6.8%: 1 occurrences (0.2%) -6.8% to -5.6%: 3 occurrences (0.6%) -6.2% -5.6% to -4.5%: 10 occurrences (2.0%) -4.5% to -3.3%: 10 occurrences (2.0%) -3.3% to -2.2%: 23 occurrences (4.5%) -2.7% -2.2% to -1.0%: 48 occurrences (9.4%) -1.0% to +0.1%: 81 occurrences (15.9%) +0.1% to +1.3%: 164 occurrences (32.2%) 0.7% +1.3% to +2.4%: 118 occurrences (23.2%) +2.4% to +3.6%: 35 occurrences (6.9%) +3.6% to +4.7%: 6 occurrences (1.2%) 4.1% +4.7% to +5.9%: 4 occurrences (0.8%) +5.9% to +7.0%: 2 occurrences (0.4%) +7.0% to +8.1%: 1 occurrences (0.2%) 7.6%
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) 1.2% 1.0% Model-free reality across 509 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 34.2% Adjusts normal bell curve for real-world skewness (0.44) and kurtosis (28.36).
Standard Normal (Black-Scholes / GBM) 5.8% 2.9% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 0.0% 0.0% Filters for historical windows that started with volatility similar to current 20-day HV (149 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 10.9%
  • Recent 20-Day HV: 4.9%
  • Parkinson Intraday Volatility: 8.9%
  • Vol Trend: Compressed (-55% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.7%
  • Top 10% Move (90th percentile): +2.3%
  • Bottom 10% Move (10th percentile): -2.1%
  • Max Historical Gain (14d): +8.1%
  • Max Historical Loss (14d): -10.2%