Finance

IBEX Move Probability $46.81 +0.82 (+1.8%)

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)
55.9%
Stock touched +5.0% ($49.16) at least once during 14 trading days.
Median first touch: Day 6 of 14
Expiration Close Probability
34.4%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.62x
You are 1.6x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±10.0%
$42.11 — $51.52

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%.

-27.1% to -22.6%: 3 occurrences (0.6%) -24.9% -22.6% to -18.1%: 7 occurrences (1.4%) -18.1% to -13.7%: 4 occurrences (0.8%) -13.7% to -9.2%: 16 occurrences (3.1%) -11.4% -9.2% to -4.7%: 56 occurrences (11.0%) -4.7% to -0.2%: 120 occurrences (23.6%) -0.2% to +4.3%: 113 occurrences (22.2%) 2.1% +4.3% to +8.8%: 88 occurrences (17.3%) +8.8% to +13.3%: 49 occurrences (9.6%) +13.3% to +17.8%: 26 occurrences (5.1%) 15.5% +17.8% to +22.3%: 9 occurrences (1.8%) +22.3% to +26.7%: 2 occurrences (0.4%) +26.7% to +31.2%: 1 occurrences (0.2%) 29.0% +31.2% to +35.7%: 3 occurrences (0.6%) +35.7% to +40.2%: 6 occurrences (1.2%) +40.2% to +44.7%: 5 occurrences (1.0%) 42.5%
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) 55.9% 34.4% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 0.8% Adjusts normal bell curve for real-world skewness (3.53) and kurtosis (39.68).
Standard Normal (Black-Scholes / GBM) 62.7% 31.3% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 68.9% 45.1% Filters for historical windows that started with volatility similar to current 20-day HV (235 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 42.6%
  • Recent 20-Day HV: 24.0%
  • Parkinson Intraday Volatility: 26.8%
  • Vol Trend: Compressed (-44% vs baseline)

14-Day Return Quantiles

  • Median Return: +2.2%
  • Top 10% Move (90th percentile): +13.3%
  • Bottom 10% Move (10th percentile): -7.3%
  • Max Historical Gain (14d): +44.7%
  • Max Historical Loss (14d): -27.1%