Finance

IMRX Move Probability $3.75 +0.02 (+0.5%)

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 IMRX Options chain →
Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
75.8%
Stock touched +5.0% ($3.94) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
36.2%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.09x
You are 2.1x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±23.9%
$2.85 — $4.65

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%.

-39.4% to -28.1%: 14 occurrences (2.8%) -33.8% -28.1% to -16.8%: 76 occurrences (15.0%) -16.8% to -5.4%: 128 occurrences (25.2%) -5.4% to +5.9%: 112 occurrences (22.0%) 0.2% +5.9% to +17.2%: 79 occurrences (15.6%) +17.2% to +28.6%: 31 occurrences (6.1%) +28.6% to +39.9%: 15 occurrences (3.0%) 34.2% +39.9% to +51.2%: 16 occurrences (3.1%) +51.2% to +62.6%: 15 occurrences (3.0%) +62.6% to +73.9%: 12 occurrences (2.4%) 68.2% +73.9% to +85.2%: 6 occurrences (1.2%) +85.2% to +96.6%: 0 occurrences (0.0%) +96.6% to +107.9%: 1 occurrences (0.2%) 102.2% +107.9% to +119.2%: 1 occurrences (0.2%) +119.2% to +130.6%: 0 occurrences (0.0%) +130.6% to +141.9%: 2 occurrences (0.4%) 136.2%
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) 75.8% 36.2% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 30.3% Adjusts normal bell curve for real-world skewness (-0.62) and kurtosis (16.76).
Standard Normal (Black-Scholes / GBM) 83.8% 41.9% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 66.3% 25.9% Filters for historical windows that started with volatility similar to current 20-day HV (243 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 101.4%
  • Recent 20-Day HV: 53.5%
  • Parkinson Intraday Volatility: 79.7%
  • Vol Trend: Compressed (-47% vs baseline)

14-Day Return Quantiles

  • Median Return: -2.5%
  • Top 10% Move (90th percentile): +40.1%
  • Bottom 10% Move (10th percentile): -21.0%
  • Max Historical Gain (14d): +141.9%
  • Max Historical Loss (14d): -39.4%