Finance

IEHC Move Probability $30.20 +0.20 (+0.7%)

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)
72.5%
Stock touched +5.0% ($31.71) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
40.0%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.81x
You are 1.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±18.5%
$24.61 — $35.79

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%.

-29.7% to -24.6%: 4 occurrences (0.8%) -27.1% -24.6% to -19.4%: 9 occurrences (1.8%) -19.4% to -14.3%: 12 occurrences (2.5%) -14.3% to -9.2%: 41 occurrences (8.4%) -11.7% -9.2% to -4.0%: 70 occurrences (14.4%) -4.0% to +1.1%: 103 occurrences (21.1%) +1.1% to +6.2%: 73 occurrences (15.0%) 3.7% +6.2% to +11.4%: 65 occurrences (13.3%) +11.4% to +16.5%: 36 occurrences (7.4%) +16.5% to +21.6%: 26 occurrences (5.3%) 19.1% +21.6% to +26.8%: 15 occurrences (3.1%) +26.8% to +31.9%: 10 occurrences (2.1%) +31.9% to +37.0%: 2 occurrences (0.4%) 34.4% +37.0% to +42.1%: 9 occurrences (1.8%) +42.1% to +47.3%: 4 occurrences (0.8%) +47.3% to +52.4%: 8 occurrences (1.6%) 49.8%
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) 72.5% 40.0% Model-free reality across 487 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 30.1% Adjusts normal bell curve for real-world skewness (0.28) and kurtosis (6.72).
Standard Normal (Black-Scholes / GBM) 79.2% 39.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 79.7% 45.9% Filters for historical windows that started with volatility similar to current 20-day HV (222 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 78.5%
  • Recent 20-Day HV: 52.2%
  • Parkinson Intraday Volatility: 56.4%
  • Vol Trend: Compressed (-34% vs baseline)

14-Day Return Quantiles

  • Median Return: +1.6%
  • Top 10% Move (90th percentile): +21.4%
  • Bottom 10% Move (10th percentile): -10.0%
  • Max Historical Gain (14d): +52.4%
  • Max Historical Loss (14d): -29.7%