Finance

IDXG Move Probability $8.68

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)
71.5%
Stock touched +5.0% ($9.11) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
33.9%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.11x
You are 2.1x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±42.3%
$5.01 — $12.35

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 487 historical windows (2024-10-22 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-76.7% to -49.5%: 13 occurrences (2.7%) -63.1% -49.5% to -22.4%: 14 occurrences (2.9%) -22.4% to +4.8%: 292 occurrences (60.0%) +4.8% to +31.9%: 117 occurrences (24.0%) 18.3% +31.9% to +59.1%: 27 occurrences (5.5%) +59.1% to +86.2%: 9 occurrences (1.8%) +86.2% to +113.4%: 1 occurrences (0.2%) 99.8% +113.4% to +140.5%: 0 occurrences (0.0%) +140.5% to +167.7%: 0 occurrences (0.0%) +167.7% to +194.8%: 0 occurrences (0.0%) 181.3% +194.8% to +222.0%: 0 occurrences (0.0%) +222.0% to +249.1%: 0 occurrences (0.0%) +249.1% to +276.3%: 0 occurrences (0.0%) 262.7% +276.3% to +303.4%: 1 occurrences (0.2%) +303.4% to +330.6%: 6 occurrences (1.2%) +330.6% to +357.7%: 7 occurrences (1.4%) 344.2%
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) 71.5% 33.9% Model-free reality across 487 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 1.6% Adjusts normal bell curve for real-world skewness (4.29) and kurtosis (112.94).
Standard Normal (Black-Scholes / GBM) 90.8% 45.4% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 58.1% 21.9% Filters for historical windows that started with volatility similar to current 20-day HV (105 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 179.6%
  • Recent 20-Day HV: 46.3%
  • Parkinson Intraday Volatility: 109.7%
  • Vol Trend: Compressed (-74% vs baseline)

14-Day Return Quantiles

  • Median Return: -1.2%
  • Top 10% Move (90th percentile): +33.3%
  • Bottom 10% Move (10th percentile): -16.9%
  • Max Historical Gain (14d): +357.7%
  • Max Historical Loss (14d): -76.7%