Finance

IQI Move Probability $9.00 -0.05 (-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)
4.1%
Stock touched +5.0% ($9.45) at least once during 14 trading days.
Median first touch: Day 10 of 14
Expiration Close Probability
2.8%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.50x
You are 1.5x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±2.8%
$8.75 — $9.25

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%.

-12.3% to -11.0%: 3 occurrences (0.6%) -11.6% -11.0% to -9.8%: 3 occurrences (0.6%) -9.8% to -8.6%: 6 occurrences (1.2%) -8.6% to -7.4%: 2 occurrences (0.4%) -8.0% -7.4% to -6.1%: 2 occurrences (0.4%) -6.1% to -4.9%: 13 occurrences (2.6%) -4.9% to -3.7%: 12 occurrences (2.4%) -4.3% -3.7% to -2.5%: 34 occurrences (6.7%) -2.5% to -1.3%: 55 occurrences (10.8%) -1.3% to -0.0%: 84 occurrences (16.5%) -0.7% -0.0% to +1.2%: 113 occurrences (22.2%) +1.2% to +2.4%: 95 occurrences (18.7%) +2.4% to +3.6%: 52 occurrences (10.2%) 3.0% +3.6% to +4.8%: 19 occurrences (3.7%) +4.8% to +6.1%: 11 occurrences (2.2%) +6.1% to +7.3%: 4 occurrences (0.8%) 6.7%
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) 4.1% 2.8% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 1.9% Adjusts normal bell curve for real-world skewness (-0.89) and kurtosis (5.78).
Standard Normal (Black-Scholes / GBM) 8.1% 4.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 12.8% 5.1% Filters for historical windows that started with volatility similar to current 20-day HV (39 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 11.8%
  • Recent 20-Day HV: 29.5%
  • Parkinson Intraday Volatility: 7.6%
  • Vol Trend: Expanded (+149% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.4%
  • Top 10% Move (90th percentile): +3.0%
  • Bottom 10% Move (10th percentile): -3.4%
  • Max Historical Gain (14d): +7.3%
  • Max Historical Loss (14d): -12.3%