Finance

IPI Move Probability $31.26 -0.83 (-2.6%)

Real historical back-data analysis: evaluates rolling trading-day windows to determine the probability of a stock touching or closing at your target move.

← Back to IPI Options chain →
Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
62.4%
Stock touched +5.0% ($32.82) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
31.7%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.97x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±12.0%
$27.51 — $35.01

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%.

-23.9% to -19.5%: 10 occurrences (2.0%) -21.7% -19.5% to -15.2%: 20 occurrences (3.9%) -15.2% to -10.8%: 34 occurrences (6.7%) -10.8% to -6.5%: 49 occurrences (9.6%) -8.7% -6.5% to -2.1%: 88 occurrences (17.3%) -2.1% to +2.2%: 87 occurrences (17.1%) +2.2% to +6.5%: 86 occurrences (16.9%) 4.4% +6.5% to +10.9%: 38 occurrences (7.5%) +10.9% to +15.2%: 41 occurrences (8.1%) +15.2% to +19.6%: 18 occurrences (3.5%) 17.4% +19.6% to +23.9%: 17 occurrences (3.3%) +23.9% to +28.3%: 9 occurrences (1.8%) +28.3% to +32.6%: 7 occurrences (1.4%) 30.4% +32.6% to +37.0%: 2 occurrences (0.4%) +37.0% to +41.3%: 1 occurrences (0.2%) +41.3% to +45.6%: 1 occurrences (0.2%) 43.5%
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) 62.4% 31.7% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 27.3% Adjusts normal bell curve for real-world skewness (0.51) and kurtosis (2.92).
Standard Normal (Black-Scholes / GBM) 68.4% 34.2% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 63.2% 36.8% Filters for historical windows that started with volatility similar to current 20-day HV (242 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 50.8%
  • Recent 20-Day HV: 33.6%
  • Parkinson Intraday Volatility: 34.5%
  • Vol Trend: Compressed (-34% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.7%
  • Top 10% Move (90th percentile): +15.9%
  • Bottom 10% Move (10th percentile): -12.4%
  • Max Historical Gain (14d): +45.6%
  • Max Historical Loss (14d): -23.9%