Finance

IRD Move Probability $4.12 +0.10 (+2.5%)

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)
77.0%
Stock touched +5.0% ($4.32) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
43.1%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.79x
You are 1.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±18.1%
$3.37 — $4.86

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%.

-44.3% to -37.3%: 2 occurrences (0.4%) -40.8% -37.3% to -30.3%: 4 occurrences (0.8%) -30.3% to -23.3%: 14 occurrences (2.8%) -23.3% to -16.3%: 31 occurrences (6.1%) -19.8% -16.3% to -9.3%: 60 occurrences (11.8%) -9.3% to -2.3%: 81 occurrences (15.9%) -2.3% to +4.7%: 94 occurrences (18.5%) 1.2% +4.7% to +11.7%: 60 occurrences (11.8%) +11.7% to +18.8%: 39 occurrences (7.7%) +18.8% to +25.8%: 43 occurrences (8.5%) 22.3% +25.8% to +32.8%: 33 occurrences (6.5%) +32.8% to +39.8%: 23 occurrences (4.5%) +39.8% to +46.8%: 13 occurrences (2.6%) 43.3% +46.8% to +53.8%: 9 occurrences (1.8%) +53.8% to +60.8%: 1 occurrences (0.2%) +60.8% to +67.8%: 1 occurrences (0.2%) 64.3%
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) 77.0% 43.1% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 32.7% Adjusts normal bell curve for real-world skewness (0.59) and kurtosis (3.08).
Standard Normal (Black-Scholes / GBM) 78.7% 39.4% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 77.1% 47.0% Filters for historical windows that started with volatility similar to current 20-day HV (319 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 76.7%
  • Recent 20-Day HV: 62.0%
  • Parkinson Intraday Volatility: 64.5%
  • Vol Trend: Compressed (-19% vs baseline)

14-Day Return Quantiles

  • Median Return: +1.9%
  • Top 10% Move (90th percentile): +31.4%
  • Bottom 10% Move (10th percentile): -16.3%
  • Max Historical Gain (14d): +67.8%
  • Max Historical Loss (14d): -44.3%