Finance

IMXI Move Probability $9.42 -0.27 (-2.8%)

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)
21.9%
Stock touched +5.0% ($9.89) at least once during 14 trading days.
Median first touch: Day 5 of 14
Expiration Close Probability
10.4%
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%)
±12.1%
$8.28 — $10.56

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%.

-28.7% to -22.7%: 8 occurrences (1.6%) -25.7% -22.7% to -16.7%: 14 occurrences (2.8%) -16.7% to -10.8%: 39 occurrences (7.7%) -10.8% to -4.8%: 88 occurrences (17.3%) -7.8% -4.8% to +1.2%: 230 occurrences (45.3%) +1.2% to +7.2%: 86 occurrences (16.9%) +7.2% to +13.1%: 4 occurrences (0.8%) 10.2% +13.1% to +19.1%: 12 occurrences (2.4%) +19.1% to +25.1%: 12 occurrences (2.4%) +25.1% to +31.1%: 1 occurrences (0.2%) 28.1% +31.1% to +37.0%: 0 occurrences (0.0%) +37.0% to +43.0%: 0 occurrences (0.0%) +43.0% to +49.0%: 1 occurrences (0.2%) 46.0% +49.0% to +55.0%: 6 occurrences (1.2%) +55.0% to +60.9%: 2 occurrences (0.4%) +60.9% to +66.9%: 5 occurrences (1.0%) 63.9%
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) 21.9% 10.4% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 0.0% Adjusts normal bell curve for real-world skewness (5.85) and kurtosis (96.45).
Standard Normal (Black-Scholes / GBM) 68.7% 34.3% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 28.7% 2.5% Filters for historical windows that started with volatility similar to current 20-day HV (80 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 51.3%
  • Recent 20-Day HV: 74.4%
  • Parkinson Intraday Volatility: 24.7%
  • Vol Trend: Expanded (+45% vs baseline)

14-Day Return Quantiles

  • Median Return: -0.3%
  • Top 10% Move (90th percentile): +5.2%
  • Bottom 10% Move (10th percentile): -12.1%
  • Max Historical Gain (14d): +66.9%
  • Max Historical Loss (14d): -28.7%