Finance

ICFI Move Probability $89.79 +0.01 (+0.0%)

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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Touch Probability (First Passage)
47.4%
Stock touched +5.0% ($94.28) at least once during 14 trading days.
Median first touch: Day 5 of 14
Expiration Close Probability
22.6%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.10x
You are 2.1x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±9.4%
$81.31 — $98.27

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%.

-32.6% to -29.1%: 3 occurrences (0.6%) -30.8% -29.1% to -25.5%: 1 occurrences (0.2%) -25.5% to -21.9%: 3 occurrences (0.6%) -21.9% to -18.4%: 17 occurrences (3.3%) -20.1% -18.4% to -14.8%: 9 occurrences (1.8%) -14.8% to -11.2%: 30 occurrences (5.9%) -11.2% to -7.7%: 46 occurrences (9.1%) -9.4% -7.7% to -4.1%: 63 occurrences (12.4%) -4.1% to -0.5%: 97 occurrences (19.1%) -0.5% to +3.1%: 84 occurrences (16.5%) 1.3% +3.1% to +6.6%: 71 occurrences (14.0%) +6.6% to +10.2%: 39 occurrences (7.7%) +10.2% to +13.8%: 26 occurrences (5.1%) 12.0% +13.8% to +17.3%: 12 occurrences (2.4%) +17.3% to +20.9%: 3 occurrences (0.6%) +20.9% to +24.5%: 4 occurrences (0.8%) 22.7%
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) 47.4% 22.6% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 15.1% Adjusts normal bell curve for real-world skewness (-1.66) and kurtosis (15.23).
Standard Normal (Black-Scholes / GBM) 60.6% 30.3% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 45.8% 23.9% Filters for historical windows that started with volatility similar to current 20-day HV (301 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 40.1%
  • Recent 20-Day HV: 27.4%
  • Parkinson Intraday Volatility: 26.8%
  • Vol Trend: Compressed (-32% vs baseline)

14-Day Return Quantiles

  • Median Return: -1.0%
  • Top 10% Move (90th percentile): +9.6%
  • Bottom 10% Move (10th percentile): -13.2%
  • Max Historical Gain (14d): +24.5%
  • Max Historical Loss (14d): -32.6%