Finance

ICMB Move Probability $0.62 -0.04 (-6.3%)

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)
35.5%
Stock touched +5.0% ($0.65) at least once during 14 trading days.
Median first touch: Day 6 of 14
Expiration Close Probability
17.0%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.09x
You are 2.1x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±12.1%
$0.55 — $0.70

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 507 historical windows (2024-09-23 to 2026-10-20). The colored bar indicates the win zone for +5.0%.

-42.9% to -37.9%: 4 occurrences (0.8%) -40.4% -37.9% to -32.8%: 9 occurrences (1.8%) -32.8% to -27.8%: 12 occurrences (2.4%) -27.8% to -22.8%: 9 occurrences (1.8%) -25.3% -22.8% to -17.7%: 32 occurrences (6.3%) -17.7% to -12.7%: 21 occurrences (4.1%) -12.7% to -7.6%: 12 occurrences (2.4%) -10.2% -7.6% to -2.6%: 66 occurrences (13.0%) -2.6% to +2.4%: 187 occurrences (36.9%) +2.4% to +7.5%: 98 occurrences (19.3%) 4.9% +7.5% to +12.5%: 44 occurrences (8.7%) +12.5% to +17.5%: 8 occurrences (1.6%) +17.5% to +22.6%: 0 occurrences (0.0%) 20.1% +22.6% to +27.6%: 3 occurrences (0.6%) +27.6% to +32.6%: 1 occurrences (0.2%) +32.6% to +37.7%: 1 occurrences (0.2%) 35.2%
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) 35.5% 17.0% Model-free reality across 507 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 25.4% Adjusts normal bell curve for real-world skewness (-2.13) and kurtosis (16.62).
Standard Normal (Black-Scholes / GBM) 68.6% 34.3% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 37.0% 11.0% Filters for historical windows that started with volatility similar to current 20-day HV (73 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 51.2%
  • Recent 20-Day HV: 77.6%
  • Parkinson Intraday Volatility: 24.3%
  • Vol Trend: Expanded (+51% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.0%
  • Top 10% Move (90th percentile): +7.9%
  • Bottom 10% Move (10th percentile): -20.0%
  • Max Historical Gain (14d): +37.7%
  • Max Historical Loss (14d): -42.9%