Finance

IFS Move Probability $53.40 -0.25 (-0.5%)

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)
50.2%
Stock touched +5.0% ($56.07) at least once during 14 trading days.
Median first touch: Day 7 of 14
Expiration Close Probability
32.5%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.55x
You are 1.6x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±6.7%
$49.85 — $56.95

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%.

-13.0% to -11.0%: 5 occurrences (1.0%) -12.0% -11.0% to -9.0%: 9 occurrences (1.8%) -9.0% to -6.9%: 24 occurrences (4.7%) -6.9% to -4.9%: 21 occurrences (4.1%) -5.9% -4.9% to -2.9%: 28 occurrences (5.5%) -2.9% to -0.9%: 56 occurrences (11.0%) -0.9% to +1.2%: 69 occurrences (13.6%) 0.1% +1.2% to +3.2%: 75 occurrences (14.8%) +3.2% to +5.2%: 68 occurrences (13.4%) +5.2% to +7.2%: 62 occurrences (12.2%) 6.2% +7.2% to +9.2%: 25 occurrences (4.9%) +9.2% to +11.3%: 20 occurrences (3.9%) +11.3% to +13.3%: 26 occurrences (5.1%) 12.3% +13.3% to +15.3%: 9 occurrences (1.8%) +15.3% to +17.3%: 7 occurrences (1.4%) +17.3% to +19.4%: 4 occurrences (0.8%) 18.4%
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) 50.2% 32.5% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 12.1% Adjusts normal bell curve for real-world skewness (-0.03) and kurtosis (5.82).
Standard Normal (Black-Scholes / GBM) 46.3% 23.2% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 44.4% 26.3% Filters for historical windows that started with volatility similar to current 20-day HV (358 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 28.2%
  • Recent 20-Day HV: 23.3%
  • Parkinson Intraday Volatility: 19.9%
  • Vol Trend: Compressed (-17% vs baseline)

14-Day Return Quantiles

  • Median Return: +2.1%
  • Top 10% Move (90th percentile): +11.0%
  • Bottom 10% Move (10th percentile): -5.8%
  • Max Historical Gain (14d): +19.4%
  • Max Historical Loss (14d): -13.0%