Finance

IMDX Move Probability $2.85 -0.18 (-5.9%)

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)
64.0%
Stock touched +5.0% ($2.99) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
31.8%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.01x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±21.7%
$2.23 — $3.47

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 509 historical windows (2024-09-23 to 2026-10-22). The colored bar indicates the win zone for +5.0%.

-52.5% to -42.7%: 1 occurrences (0.2%) -47.6% -42.7% to -32.9%: 4 occurrences (0.8%) -32.9% to -23.1%: 24 occurrences (4.7%) -23.1% to -13.3%: 92 occurrences (18.1%) -18.2% -13.3% to -3.5%: 143 occurrences (28.1%) -3.5% to +6.3%: 89 occurrences (17.5%) +6.3% to +16.1%: 45 occurrences (8.8%) 11.2% +16.1% to +25.9%: 33 occurrences (6.5%) +25.9% to +35.7%: 27 occurrences (5.3%) +35.7% to +45.5%: 24 occurrences (4.7%) 40.6% +45.5% to +55.3%: 14 occurrences (2.8%) +55.3% to +65.1%: 4 occurrences (0.8%) +65.1% to +74.9%: 3 occurrences (0.6%) 70.0% +74.9% to +84.7%: 1 occurrences (0.2%) +84.7% to +94.5%: 2 occurrences (0.4%) +94.5% to +104.3%: 3 occurrences (0.6%) 99.4%
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) 64.0% 31.8% Model-free reality across 509 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 36.3% Adjusts normal bell curve for real-world skewness (-0.07) and kurtosis (5.0).
Standard Normal (Black-Scholes / GBM) 82.2% 41.1% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 63.0% 26.5% Filters for historical windows that started with volatility similar to current 20-day HV (257 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 92.0%
  • Recent 20-Day HV: 113.1%
  • Parkinson Intraday Volatility: 66.3%
  • Vol Trend: Expanded (+23% vs baseline)

14-Day Return Quantiles

  • Median Return: -4.2%
  • Top 10% Move (90th percentile): +35.5%
  • Bottom 10% Move (10th percentile): -18.5%
  • Max Historical Gain (14d): +104.3%
  • Max Historical Loss (14d): -52.5%