Finance

IMAQ Move Probability $11.61 +0.12 (+1.0%)

Real historical back-data analysis: evaluates rolling trading-day windows to determine the probability of a stock touching or closing at your target move.

← Back to IMAQ Options chain →
Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
8.8%
Stock touched +5.0% ($12.19) at least once during 14 trading days.
Median first touch: Day 8 of 14
Expiration Close Probability
2.5%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
3.58x
You are 3.6x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±7.7%
$10.71 — $12.51

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%.

-22.1% to -18.8%: 1 occurrences (0.2%) -20.4% -18.8% to -15.4%: 0 occurrences (0.0%) -15.4% to -12.1%: 0 occurrences (0.0%) -12.1% to -8.8%: 0 occurrences (0.0%) -10.5% -8.8% to -5.5%: 13 occurrences (2.7%) -5.5% to -2.1%: 94 occurrences (19.3%) -2.1% to +1.2%: 249 occurrences (51.1%) -0.5% +1.2% to +4.5%: 113 occurrences (23.2%) +4.5% to +7.8%: 15 occurrences (3.1%) +7.8% to +11.2%: 1 occurrences (0.2%) 9.5% +11.2% to +14.5%: 0 occurrences (0.0%) +14.5% to +17.8%: 0 occurrences (0.0%) +17.8% to +21.1%: 0 occurrences (0.0%) 19.5% +21.1% to +24.5%: 0 occurrences (0.0%) +24.5% to +27.8%: 0 occurrences (0.0%) +27.8% to +31.1%: 1 occurrences (0.2%) 29.5%
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) 8.8% 2.5% Model-free reality across 487 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 0.0% Adjusts normal bell curve for real-world skewness (0.51) and kurtosis (95.78).
Standard Normal (Black-Scholes / GBM) 52.8% 26.4% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 5.0% 0.0% Filters for historical windows that started with volatility similar to current 20-day HV (202 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 32.8%
  • Recent 20-Day HV: 13.8%
  • Parkinson Intraday Volatility: 13.2%
  • Vol Trend: Compressed (-58% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.0%
  • Top 10% Move (90th percentile): +2.8%
  • Bottom 10% Move (10th percentile): -3.4%
  • Max Historical Gain (14d): +31.1%
  • Max Historical Loss (14d): -22.1%