Finance

INVZ Move Probability $0.23 -0.03 (-10.7%)

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)
75.0%
Stock touched +5.0% ($0.25) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
34.1%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.20x
You are 2.2x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±23.8%
$0.18 — $0.29

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%.

-54.1% to -39.2%: 15 occurrences (3.0%) -46.6% -39.2% to -24.4%: 57 occurrences (11.2%) -24.4% to -9.6%: 119 occurrences (23.4%) -9.6% to +5.3%: 148 occurrences (29.1%) -2.1% +5.3% to +20.1%: 83 occurrences (16.3%) +20.1% to +35.0%: 38 occurrences (7.5%) +35.0% to +49.8%: 21 occurrences (4.1%) 42.4% +49.8% to +64.6%: 11 occurrences (2.2%) +64.6% to +79.5%: 5 occurrences (1.0%) +79.5% to +94.3%: 2 occurrences (0.4%) 86.9% +94.3% to +109.1%: 2 occurrences (0.4%) +109.1% to +124.0%: 1 occurrences (0.2%) +124.0% to +138.8%: 0 occurrences (0.0%) 131.4% +138.8% to +153.7%: 3 occurrences (0.6%) +153.7% to +168.5%: 2 occurrences (0.4%) +168.5% to +183.3%: 1 occurrences (0.2%) 175.9%
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) 75.0% 34.1% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 36.3% Adjusts normal bell curve for real-world skewness (0.26) and kurtosis (4.16).
Standard Normal (Black-Scholes / GBM) 83.7% 41.9% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 74.3% 37.7% Filters for historical windows that started with volatility similar to current 20-day HV (191 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 100.8%
  • Recent 20-Day HV: 59.3%
  • Parkinson Intraday Volatility: 86.4%
  • Vol Trend: Compressed (-41% vs baseline)

14-Day Return Quantiles

  • Median Return: -4.1%
  • Top 10% Move (90th percentile): +33.1%
  • Bottom 10% Move (10th percentile): -27.0%
  • Max Historical Gain (14d): +183.3%
  • Max Historical Loss (14d): -54.1%