Finance

MSGE Move Probability $80.63 -0.06 (-0.1%)

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)
63.0%
Stock touched +5.0% ($84.66) at least once during 14 trading days.
Median first touch: Day 6 of 14
Expiration Close Probability
33.5%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.88x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±7.8%
$74.31 — $86.95

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%.

-17.5% to -15.0%: 8 occurrences (1.6%) -16.3% -15.0% to -12.5%: 11 occurrences (2.2%) -12.5% to -10.0%: 13 occurrences (2.6%) -10.0% to -7.5%: 26 occurrences (5.1%) -8.7% -7.5% to -5.0%: 30 occurrences (5.9%) -5.0% to -2.4%: 29 occurrences (5.7%) -2.4% to +0.1%: 58 occurrences (11.4%) -1.2% +0.1% to +2.6%: 83 occurrences (16.3%) +2.6% to +5.1%: 83 occurrences (16.3%) +5.1% to +7.6%: 68 occurrences (13.4%) 6.4% +7.6% to +10.1%: 36 occurrences (7.1%) +10.1% to +12.6%: 35 occurrences (6.9%) +12.6% to +15.2%: 14 occurrences (2.8%) 13.9% +15.2% to +17.7%: 8 occurrences (1.6%) +17.7% to +20.2%: 2 occurrences (0.4%) +20.2% to +22.7%: 4 occurrences (0.8%) 21.4%
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) 63.0% 33.5% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 18.2% Adjusts normal bell curve for real-world skewness (0.26) and kurtosis (3.91).
Standard Normal (Black-Scholes / GBM) 53.3% 26.7% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 62.3% 31.0% Filters for historical windows that started with volatility similar to current 20-day HV (329 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 33.2%
  • Recent 20-Day HV: 25.3%
  • Parkinson Intraday Volatility: 25.2%
  • Vol Trend: Compressed (-24% vs baseline)

14-Day Return Quantiles

  • Median Return: +2.5%
  • Top 10% Move (90th percentile): +11.1%
  • Bottom 10% Move (10th percentile): -8.0%
  • Max Historical Gain (14d): +22.7%
  • Max Historical Loss (14d): -17.5%