Finance

IPM Move Probability $1.72 -0.01 (-0.6%)

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

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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
56.5%
Stock touched +5.0% ($1.81) at least once during 14 trading days.
Median first touch: Day 5 of 14
Expiration Close Probability
22.0%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.56x
You are 2.6x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±13.7%
$1.48 — $1.96

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%.

-40.5% to -36.4%: 1 occurrences (0.2%) -38.5% -36.4% to -32.4%: 4 occurrences (0.8%) -32.4% to -28.3%: 2 occurrences (0.4%) -28.3% to -24.2%: 4 occurrences (0.8%) -26.3% -24.2% to -20.2%: 5 occurrences (1.0%) -20.2% to -16.1%: 9 occurrences (1.8%) -16.1% to -12.0%: 18 occurrences (3.5%) -14.1% -12.0% to -8.0%: 37 occurrences (7.3%) -8.0% to -3.9%: 93 occurrences (18.3%) -3.9% to +0.2%: 127 occurrences (25.0%) -1.9% +0.2% to +4.2%: 77 occurrences (15.2%) +4.2% to +8.3%: 71 occurrences (14.0%) +8.3% to +12.4%: 23 occurrences (4.5%) 10.4% +12.4% to +16.5%: 20 occurrences (3.9%) +16.5% to +20.5%: 12 occurrences (2.4%) +20.5% to +24.6%: 5 occurrences (1.0%) 22.6%
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) 56.5% 22.0% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 23.6% Adjusts normal bell curve for real-world skewness (0.29) and kurtosis (7.64).
Standard Normal (Black-Scholes / GBM) 72.2% 36.1% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 15.4% 15.4% Filters for historical windows that started with volatility similar to current 20-day HV (13 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 58.3%
  • Recent 20-Day HV: 11.0%
  • Parkinson Intraday Volatility: 33.8%
  • Vol Trend: Compressed (-81% vs baseline)

14-Day Return Quantiles

  • Median Return: -1.2%
  • Top 10% Move (90th percentile): +9.5%
  • Bottom 10% Move (10th percentile): -10.8%
  • Max Historical Gain (14d): +24.6%
  • Max Historical Loss (14d): -40.5%