Finance

IAE Move Probability $7.01 -0.13 (-1.9%)

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)
21.7%
Stock touched +5.0% ($7.36) at least once during 14 trading days.
Median first touch: Day 8 of 14
Expiration Close Probability
18.3%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.18x
You are 1.2x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±4.9%
$6.67 — $7.35

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 502 historical windows (2024-09-23 to 2026-10-13). The colored bar indicates the win zone for +5.0%.

-12.6% to -10.9%: 2 occurrences (0.4%) -11.8% -10.9% to -9.3%: 3 occurrences (0.6%) -9.3% to -7.6%: 6 occurrences (1.2%) -7.6% to -5.9%: 13 occurrences (2.6%) -6.7% -5.9% to -4.2%: 23 occurrences (4.6%) -4.2% to -2.5%: 34 occurrences (6.8%) -2.5% to -0.8%: 58 occurrences (11.6%) -1.7% -0.8% to +0.8%: 76 occurrences (15.1%) +0.8% to +2.5%: 96 occurrences (19.1%) +2.5% to +4.2%: 75 occurrences (14.9%) 3.4% +4.2% to +5.9%: 45 occurrences (9.0%) +5.9% to +7.6%: 21 occurrences (4.2%) +7.6% to +9.3%: 30 occurrences (6.0%) 8.4% +9.3% to +11.0%: 14 occurrences (2.8%) +11.0% to +12.6%: 3 occurrences (0.6%) +12.6% to +14.3%: 3 occurrences (0.6%) 13.5%
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) 21.7% 18.3% Model-free reality across 502 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 8.7% Adjusts normal bell curve for real-world skewness (-0.27) and kurtosis (4.35).
Standard Normal (Black-Scholes / GBM) 31.7% 15.9% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 20.6% 15.7% Filters for historical windows that started with volatility similar to current 20-day HV (281 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 20.7%
  • Recent 20-Day HV: 19.8%
  • Parkinson Intraday Volatility: 8.0%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: +1.5%
  • Top 10% Move (90th percentile): +7.5%
  • Bottom 10% Move (10th percentile): -3.9%
  • Max Historical Gain (14d): +14.3%
  • Max Historical Loss (14d): -12.6%