Finance

INDI Move Probability $1.80 -0.02 (-1.1%)

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)
71.1%
Stock touched +5.0% ($1.90) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
39.8%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.79x
You are 1.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±21.6%
$1.42 — $2.19

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%.

-40.3% to -33.9%: 14 occurrences (2.8%) -37.1% -33.9% to -27.4%: 26 occurrences (5.1%) -27.4% to -20.9%: 40 occurrences (7.9%) -20.9% to -14.4%: 54 occurrences (10.6%) -17.7% -14.4% to -8.0%: 60 occurrences (11.8%) -8.0% to -1.5%: 59 occurrences (11.6%) -1.5% to +5.0%: 53 occurrences (10.4%) 1.7% +5.0% to +11.5%: 47 occurrences (9.3%) +11.5% to +17.9%: 43 occurrences (8.5%) +17.9% to +24.4%: 37 occurrences (7.3%) 21.2% +24.4% to +30.9%: 31 occurrences (6.1%) +30.9% to +37.4%: 15 occurrences (3.0%) +37.4% to +43.8%: 15 occurrences (3.0%) 40.6% +43.8% to +50.3%: 10 occurrences (2.0%) +50.3% to +56.8%: 2 occurrences (0.4%) +56.8% to +63.3%: 2 occurrences (0.4%) 60.0%
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) 71.1% 39.8% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 26.6% Adjusts normal bell curve for real-world skewness (1.13) and kurtosis (9.38).
Standard Normal (Black-Scholes / GBM) 82.1% 41.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 70.1% 45.3% Filters for historical windows that started with volatility similar to current 20-day HV (254 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 91.5%
  • Recent 20-Day HV: 62.4%
  • Parkinson Intraday Volatility: 72.3%
  • Vol Trend: Compressed (-32% vs baseline)

14-Day Return Quantiles

  • Median Return: -1.3%
  • Top 10% Move (90th percentile): +28.6%
  • Bottom 10% Move (10th percentile): -25.9%
  • Max Historical Gain (14d): +63.3%
  • Max Historical Loss (14d): -40.3%