Finance

ICU Move Probability $3.17 +0.14 (+4.6%)

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)
69.9%
Stock touched +5.0% ($3.33) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
28.1%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.48x
You are 2.5x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±82.2%
$0.56 — $5.78

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%.

-99.2% to -87.1%: 14 occurrences (2.8%) -93.2% -87.1% to -75.0%: 0 occurrences (0.0%) -75.0% to -63.0%: 7 occurrences (1.4%) -63.0% to -50.9%: 6 occurrences (1.2%) -56.9% -50.9% to -38.8%: 15 occurrences (3.0%) -38.8% to -26.7%: 56 occurrences (11.0%) -26.7% to -14.7%: 70 occurrences (13.8%) -20.7% -14.7% to -2.6%: 112 occurrences (22.0%) -2.6% to +9.5%: 113 occurrences (22.2%) +9.5% to +21.6%: 54 occurrences (10.6%) 15.5% +21.6% to +33.7%: 21 occurrences (4.1%) +33.7% to +45.7%: 11 occurrences (2.2%) +45.7% to +57.8%: 10 occurrences (2.0%) 51.8% +57.8% to +69.9%: 9 occurrences (1.8%) +69.9% to +82.0%: 7 occurrences (1.4%) +82.0% to +94.0%: 3 occurrences (0.6%) 88.0%
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) 69.9% 28.1% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 99.7% Adjusts normal bell curve for real-world skewness (-17.72) and kurtosis (363.59).
Standard Normal (Black-Scholes / GBM) 95.3% 47.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 71.1% 27.0% Filters for historical windows that started with volatility similar to current 20-day HV (152 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 348.9%
  • Recent 20-Day HV: 177.2%
  • Parkinson Intraday Volatility: 93.0%
  • Vol Trend: Compressed (-49% vs baseline)

14-Day Return Quantiles

  • Median Return: -5.0%
  • Top 10% Move (90th percentile): +27.4%
  • Bottom 10% Move (10th percentile): -35.4%
  • Max Historical Gain (14d): +94.0%
  • Max Historical Loss (14d): -99.2%