Finance

IMA Move Probability $4.15 +0.05 (+1.2%)

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)
43.9%
Stock touched +5.0% ($4.36) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
15.2%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.90x
You are 2.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±15.0%
$3.53 — $4.77

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%.

-45.0% to -40.1%: 2 occurrences (0.4%) -42.6% -40.1% to -35.3%: 12 occurrences (2.4%) -35.3% to -30.4%: 0 occurrences (0.0%) -30.4% to -25.5%: 3 occurrences (0.6%) -27.9% -25.5% to -20.6%: 7 occurrences (1.4%) -20.6% to -15.8%: 22 occurrences (4.3%) -15.8% to -10.9%: 48 occurrences (9.4%) -13.3% -10.9% to -6.0%: 84 occurrences (16.5%) -6.0% to -1.1%: 135 occurrences (26.6%) -1.1% to +3.7%: 102 occurrences (20.1%) 1.3% +3.7% to +8.6%: 49 occurrences (9.6%) +8.6% to +13.5%: 12 occurrences (2.4%) +13.5% to +18.3%: 10 occurrences (2.0%) 15.9% +18.3% to +23.2%: 12 occurrences (2.4%) +23.2% to +28.1%: 5 occurrences (1.0%) +28.1% to +33.0%: 5 occurrences (1.0%) 30.5%
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) 43.9% 15.2% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 17.0% Adjusts normal bell curve for real-world skewness (-0.86) and kurtosis (20.17).
Standard Normal (Black-Scholes / GBM) 74.5% 37.2% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 47.2% 20.6% Filters for historical windows that started with volatility similar to current 20-day HV (301 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 63.6%
  • Recent 20-Day HV: 49.3%
  • Parkinson Intraday Volatility: 33.8%
  • Vol Trend: Compressed (-23% vs baseline)

14-Day Return Quantiles

  • Median Return: -3.0%
  • Top 10% Move (90th percentile): +8.3%
  • Bottom 10% Move (10th percentile): -15.4%
  • Max Historical Gain (14d): +33.0%
  • Max Historical Loss (14d): -45.0%