Finance

IMMX Move Probability $8.50 -0.43 (-4.8%)

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)
78.3%
Stock touched +5.0% ($8.93) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
46.1%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.70x
You are 1.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±20.4%
$6.76 — $10.24

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%.

-30.6% to -23.4%: 13 occurrences (2.6%) -27.0% -23.4% to -16.2%: 51 occurrences (10.0%) -16.2% to -9.0%: 59 occurrences (11.6%) -9.0% to -1.8%: 76 occurrences (15.0%) -5.4% -1.8% to +5.4%: 77 occurrences (15.2%) +5.4% to +12.6%: 55 occurrences (10.8%) +12.6% to +19.8%: 44 occurrences (8.7%) 16.2% +19.8% to +27.0%: 41 occurrences (8.1%) +27.0% to +34.2%: 33 occurrences (6.5%) +34.2% to +41.4%: 21 occurrences (4.1%) 37.8% +41.4% to +48.6%: 18 occurrences (3.5%) +48.6% to +55.8%: 12 occurrences (2.4%) +55.8% to +63.0%: 5 occurrences (1.0%) 59.4% +63.0% to +70.2%: 2 occurrences (0.4%) +70.2% to +77.4%: 0 occurrences (0.0%) +77.4% to +84.6%: 1 occurrences (0.2%) 81.0%
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) 78.3% 46.1% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 38.0% Adjusts normal bell curve for real-world skewness (0.2) and kurtosis (1.3).
Standard Normal (Black-Scholes / GBM) 81.1% 40.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 80.2% 46.5% Filters for historical windows that started with volatility similar to current 20-day HV (359 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 86.8%
  • Recent 20-Day HV: 73.8%
  • Parkinson Intraday Volatility: 73.7%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: +3.0%
  • Top 10% Move (90th percentile): +36.8%
  • Bottom 10% Move (10th percentile): -17.5%
  • Max Historical Gain (14d): +84.6%
  • Max Historical Loss (14d): -30.6%