Finance

INVA Move Probability $20.91 -0.39 (-1.8%)

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)
39.0%
Stock touched +5.0% ($21.95) at least once during 14 trading days.
Median first touch: Day 6 of 14
Expiration Close Probability
18.9%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.06x
You are 2.1x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±5.7%
$19.71 — $22.10

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%.

-12.7% to -10.3%: 11 occurrences (2.2%) -11.5% -10.3% to -7.9%: 21 occurrences (4.1%) -7.9% to -5.5%: 49 occurrences (9.6%) -5.5% to -3.1%: 75 occurrences (14.8%) -4.3% -3.1% to -0.7%: 104 occurrences (20.5%) -0.7% to +1.7%: 86 occurrences (16.9%) +1.7% to +4.1%: 52 occurrences (10.2%) 2.9% +4.1% to +6.5%: 27 occurrences (5.3%) +6.5% to +8.9%: 26 occurrences (5.1%) +8.9% to +11.3%: 16 occurrences (3.1%) 10.1% +11.3% to +13.7%: 12 occurrences (2.4%) +13.7% to +16.1%: 10 occurrences (2.0%) +16.1% to +18.5%: 5 occurrences (1.0%) 17.3% +18.5% to +20.9%: 6 occurrences (1.2%) +20.9% to +23.3%: 4 occurrences (0.8%) +23.3% to +25.7%: 4 occurrences (0.8%) 24.5%
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) 39.0% 18.9% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 6.7% Adjusts normal bell curve for real-world skewness (1.28) and kurtosis (8.95).
Standard Normal (Black-Scholes / GBM) 39.4% 19.7% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 36.5% 17.7% Filters for historical windows that started with volatility similar to current 20-day HV (356 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 24.3%
  • Recent 20-Day HV: 24.8%
  • Parkinson Intraday Volatility: 22.0%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: -0.9%
  • Top 10% Move (90th percentile): +9.2%
  • Bottom 10% Move (10th percentile): -6.5%
  • Max Historical Gain (14d): +25.7%
  • Max Historical Loss (14d): -12.7%