Finance

IBO Move Probability $3.13 +0.09 (+3.0%)

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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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
41.2%
Stock touched +5.0% ($3.29) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
22.5%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.83x
You are 1.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±45.2%
$1.71 — $4.55

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 476 historical windows (2024-11-05 to 2026-10-20). The colored bar indicates the win zone for +5.0%.

-84.7% to -66.8%: 14 occurrences (2.9%) -75.7% -66.8% to -48.9%: 1 occurrences (0.2%) -48.9% to -30.9%: 10 occurrences (2.1%) -30.9% to -13.0%: 65 occurrences (13.7%) -22.0% -13.0% to +4.9%: 277 occurrences (58.2%) +4.9% to +22.8%: 75 occurrences (15.8%) +22.8% to +40.8%: 16 occurrences (3.4%) 31.8% +40.8% to +58.7%: 14 occurrences (2.9%) +58.7% to +76.6%: 0 occurrences (0.0%) +76.6% to +94.5%: 2 occurrences (0.4%) 85.6% +94.5% to +112.5%: 1 occurrences (0.2%) +112.5% to +130.4%: 0 occurrences (0.0%) +130.4% to +148.3%: 0 occurrences (0.0%) 139.3% +148.3% to +166.2%: 0 occurrences (0.0%) +166.2% to +184.1%: 0 occurrences (0.0%) +184.1% to +202.1%: 1 occurrences (0.2%) 193.1%
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) 41.2% 22.5% Model-free reality across 476 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 19.0% Adjusts normal bell curve for real-world skewness (-4.7) and kurtosis (139.35).
Standard Normal (Black-Scholes / GBM) 91.4% 45.7% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 65.6% 21.3% Filters for historical windows that started with volatility similar to current 20-day HV (61 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 191.9%
  • Recent 20-Day HV: 136.0%
  • Parkinson Intraday Volatility: 65.7%
  • Vol Trend: Compressed (-29% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.0%
  • Top 10% Move (90th percentile): +15.4%
  • Bottom 10% Move (10th percentile): -19.0%
  • Max Historical Gain (14d): +202.1%
  • Max Historical Loss (14d): -84.7%