Finance

INSE Move Probability $3.20 +0.03 (+0.8%)

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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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
53.1%
Stock touched +5.0% ($3.36) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
26.4%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.01x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±12.0%
$2.82 — $3.58

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%.

-39.2% to -34.5%: 2 occurrences (0.4%) -36.8% -34.5% to -29.8%: 1 occurrences (0.2%) -29.8% to -25.2%: 9 occurrences (1.8%) -25.2% to -20.5%: 12 occurrences (2.4%) -22.8% -20.5% to -15.8%: 35 occurrences (6.9%) -15.8% to -11.1%: 44 occurrences (8.7%) -11.1% to -6.5%: 60 occurrences (11.8%) -8.8% -6.5% to -1.8%: 96 occurrences (18.9%) -1.8% to +2.9%: 73 occurrences (14.4%) +2.9% to +7.5%: 80 occurrences (15.7%) 5.2% +7.5% to +12.2%: 54 occurrences (10.6%) +12.2% to +16.9%: 27 occurrences (5.3%) +16.9% to +21.5%: 8 occurrences (1.6%) 19.2% +21.5% to +26.2%: 4 occurrences (0.8%) +26.2% to +30.9%: 2 occurrences (0.4%) +30.9% to +35.6%: 1 occurrences (0.2%) 33.2%
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) 53.1% 26.4% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 27.1% Adjusts normal bell curve for real-world skewness (-0.17) and kurtosis (4.74).
Standard Normal (Black-Scholes / GBM) 68.3% 34.2% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 90.9% 54.5% Filters for historical windows that started with volatility similar to current 20-day HV (22 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 50.8%
  • Recent 20-Day HV: 117.1%
  • Parkinson Intraday Volatility: 34.6%
  • Vol Trend: Expanded (+131% vs baseline)

14-Day Return Quantiles

  • Median Return: -1.9%
  • Top 10% Move (90th percentile): +11.0%
  • Bottom 10% Move (10th percentile): -16.7%
  • Max Historical Gain (14d): +35.6%
  • Max Historical Loss (14d): -39.2%