Finance

IPSC Move Probability $1.61 -0.02 (-1.2%)

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)
72.4%
Stock touched +5.0% ($1.69) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
29.9%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.42x
You are 2.4x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±19.2%
$1.30 — $1.92

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%.

-38.7% to -24.2%: 27 occurrences (5.3%) -31.4% -24.2% to -9.8%: 117 occurrences (23.0%) -9.8% to +4.7%: 209 occurrences (41.1%) +4.7% to +19.1%: 107 occurrences (21.1%) 11.9% +19.1% to +33.6%: 13 occurrences (2.6%) +33.6% to +48.0%: 8 occurrences (1.6%) +48.0% to +62.5%: 3 occurrences (0.6%) 55.2% +62.5% to +76.9%: 4 occurrences (0.8%) +76.9% to +91.4%: 4 occurrences (0.8%) +91.4% to +105.8%: 5 occurrences (1.0%) 98.6% +105.8% to +120.3%: 2 occurrences (0.4%) +120.3% to +134.7%: 2 occurrences (0.4%) +134.7% to +149.2%: 2 occurrences (0.4%) 141.9% +149.2% to +163.6%: 3 occurrences (0.6%) +163.6% to +178.1%: 1 occurrences (0.2%) +178.1% to +192.5%: 1 occurrences (0.2%) 185.3%
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) 72.4% 29.9% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 27.1% Adjusts normal bell curve for real-world skewness (1.23) and kurtosis (6.97).
Standard Normal (Black-Scholes / GBM) 80.0% 40.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 78.5% 36.5% Filters for historical windows that started with volatility similar to current 20-day HV (233 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 81.5%
  • Recent 20-Day HV: 99.1%
  • Parkinson Intraday Volatility: 69.9%
  • Vol Trend: Expanded (+22% vs baseline)

14-Day Return Quantiles

  • Median Return: -2.9%
  • Top 10% Move (90th percentile): +18.6%
  • Bottom 10% Move (10th percentile): -19.7%
  • Max Historical Gain (14d): +192.5%
  • Max Historical Loss (14d): -38.7%