Finance

INGR Move Probability $95.61 -1.20 (-1.2%)

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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Touch Probability (First Passage)
20.9%
Stock touched +5.0% ($100.40) at least once during 14 trading days.
Median first touch: Day 8 of 14
Expiration Close Probability
8.7%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.41x
You are 2.4x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±5.0%
$90.83 — $100.40

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%.

-12.4% to -10.8%: 2 occurrences (0.4%) -11.6% -10.8% to -9.1%: 9 occurrences (1.8%) -9.1% to -7.4%: 7 occurrences (1.4%) -7.4% to -5.8%: 38 occurrences (7.5%) -6.6% -5.8% to -4.1%: 64 occurrences (12.6%) -4.1% to -2.4%: 55 occurrences (10.8%) -2.4% to -0.8%: 80 occurrences (15.7%) -1.6% -0.8% to +0.9%: 74 occurrences (14.6%) +0.9% to +2.6%: 72 occurrences (14.2%) +2.6% to +4.2%: 45 occurrences (8.9%) 3.4% +4.2% to +5.9%: 28 occurrences (5.5%) +5.9% to +7.6%: 20 occurrences (3.9%) +7.6% to +9.2%: 5 occurrences (1.0%) 8.4% +9.2% to +10.9%: 4 occurrences (0.8%) +10.9% to +12.5%: 3 occurrences (0.6%) +12.5% to +14.2%: 2 occurrences (0.4%) 13.4%
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) 20.9% 8.7% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 0.2% Adjusts normal bell curve for real-world skewness (1.92) and kurtosis (27.13).
Standard Normal (Black-Scholes / GBM) 33.0% 16.5% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 15.5% 5.8% Filters for historical windows that started with volatility similar to current 20-day HV (330 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 21.2%
  • Recent 20-Day HV: 15.9%
  • Parkinson Intraday Volatility: 16.5%
  • Vol Trend: Compressed (-25% vs baseline)

14-Day Return Quantiles

  • Median Return: -0.8%
  • Top 10% Move (90th percentile): +4.7%
  • Bottom 10% Move (10th percentile): -5.9%
  • Max Historical Gain (14d): +14.2%
  • Max Historical Loss (14d): -12.4%