Finance

IMAX Move Probability $53.11 +0.63 (+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)
66.1%
Stock touched +5.0% ($55.77) at least once during 14 trading days.
Median first touch: Day 5 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
1.66x
You are 1.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±8.9%
$48.36 — $57.86

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%.

-20.8% to -17.3%: 5 occurrences (1.0%) -19.1% -17.3% to -13.8%: 7 occurrences (1.4%) -13.8% to -10.3%: 18 occurrences (3.5%) -10.3% to -6.8%: 44 occurrences (8.7%) -8.6% -6.8% to -3.3%: 59 occurrences (11.6%) -3.3% to +0.2%: 67 occurrences (13.2%) +0.2% to +3.7%: 78 occurrences (15.4%) 1.9% +3.7% to +7.1%: 74 occurrences (14.6%) +7.1% to +10.6%: 51 occurrences (10.0%) +10.6% to +14.1%: 45 occurrences (8.9%) 12.4% +14.1% to +17.6%: 28 occurrences (5.5%) +17.6% to +21.1%: 15 occurrences (3.0%) +21.1% to +24.6%: 9 occurrences (1.8%) 22.9% +24.6% to +28.1%: 3 occurrences (0.6%) +28.1% to +31.6%: 3 occurrences (0.6%) +31.6% to +35.1%: 2 occurrences (0.4%) 33.4%
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) 66.1% 40.0% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 17.1% Adjusts normal bell curve for real-world skewness (1.06) and kurtosis (5.78).
Standard Normal (Black-Scholes / GBM) 58.5% 29.3% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 63.3% 39.5% Filters for historical windows that started with volatility similar to current 20-day HV (332 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 37.9%
  • Recent 20-Day HV: 31.1%
  • Parkinson Intraday Volatility: 32.2%
  • Vol Trend: Compressed (-18% vs baseline)

14-Day Return Quantiles

  • Median Return: +2.9%
  • Top 10% Move (90th percentile): +15.1%
  • Bottom 10% Move (10th percentile): -8.3%
  • Max Historical Gain (14d): +35.1%
  • Max Historical Loss (14d): -20.8%