Finance

IMUX Move Probability $7.54 +0.16 (+2.2%)

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)
72.1%
Stock touched +5.0% ($7.92) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
33.5%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.15x
You are 2.1x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±18.9%
$6.12 — $8.96

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%.

-38.6% to -32.2%: 6 occurrences (1.2%) -35.4% -32.2% to -25.7%: 20 occurrences (4.1%) -25.7% to -19.3%: 43 occurrences (8.8%) -19.3% to -12.8%: 54 occurrences (11.1%) -16.1% -12.8% to -6.4%: 72 occurrences (14.8%) -6.4% to +0.1%: 87 occurrences (17.9%) +0.1% to +6.5%: 51 occurrences (10.5%) 3.3% +6.5% to +12.9%: 39 occurrences (8.0%) +12.9% to +19.4%: 40 occurrences (8.2%) +19.4% to +25.8%: 24 occurrences (4.9%) 22.6% +25.8% to +32.3%: 23 occurrences (4.7%) +32.3% to +38.7%: 10 occurrences (2.1%) +38.7% to +45.2%: 5 occurrences (1.0%) 42.0% +45.2% to +51.6%: 9 occurrences (1.8%) +51.6% to +58.1%: 1 occurrences (0.2%) +58.1% to +64.5%: 3 occurrences (0.6%) 61.3%
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) 72.1% 33.5% Model-free reality across 487 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 38.2% Adjusts normal bell curve for real-world skewness (-0.39) and kurtosis (3.47).
Standard Normal (Black-Scholes / GBM) 79.6% 39.8% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 73.0% 29.9% Filters for historical windows that started with volatility similar to current 20-day HV (348 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 80.1%
  • Recent 20-Day HV: 85.2%
  • Parkinson Intraday Volatility: 85.8%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: -2.7%
  • Top 10% Move (90th percentile): +26.5%
  • Bottom 10% Move (10th percentile): -21.7%
  • Max Historical Gain (14d): +64.5%
  • Max Historical Loss (14d): -38.6%