Finance

IREN Move Probability $21.64 +3.62 (+20.1%)

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 IREN Options chain →
Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
69.1%
Stock touched +5.0% ($22.72) at least once during 4 trading days.
Median first touch: Day 1 of 4
Expiration Close Probability
38.1%
Stock closed at or beyond +5.0% at the end of the 4-day window.
The Touch Multiple
1.81x
You are 1.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±13.4%
$18.75 — $24.53

Historical 4-Day Return Distribution

Frequency of rolling 4-day percentage returns over 517 historical windows (2024-10-10 to 2026-11-06). The colored bar indicates the win zone for +5.0%.

-32.5% to -27.8%: 2 occurrences (0.4%) -30.1% -27.8% to -23.1%: 8 occurrences (1.5%) -23.1% to -18.4%: 17 occurrences (3.3%) -18.4% to -13.7%: 34 occurrences (6.6%) -16.0% -13.7% to -9.0%: 54 occurrences (10.4%) -9.0% to -4.3%: 65 occurrences (12.6%) -4.3% to +0.4%: 75 occurrences (14.5%) -2.0% +0.4% to +5.1%: 65 occurrences (12.6%) +5.1% to +9.7%: 55 occurrences (10.6%) +9.7% to +14.4%: 52 occurrences (10.1%) 12.1% +14.4% to +19.1%: 35 occurrences (6.8%) +19.1% to +23.8%: 24 occurrences (4.6%) +23.8% to +28.5%: 17 occurrences (3.3%) 26.2% +28.5% to +33.2%: 10 occurrences (1.9%) +33.2% to +37.9%: 2 occurrences (0.4%) +37.9% to +42.6%: 2 occurrences (0.4%) 40.2%
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) 69.1% 38.1% Model-free reality across 517 historical 4-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 33.8% Adjusts normal bell curve for real-world skewness (0.08) and kurtosis (0.95).
Standard Normal (Black-Scholes / GBM) 71.5% 35.8% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 68.7% 31.9% Filters for historical windows that started with volatility similar to current 20-day HV (310 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 106.1%
  • Recent 20-Day HV: 145.0%
  • Parkinson Intraday Volatility: 87.2%
  • Vol Trend: Expanded (+37% vs baseline)

4-Day Return Quantiles

  • Median Return: +0.8%
  • Top 10% Move (90th percentile): +19.9%
  • Bottom 10% Move (10th percentile): -15.2%
  • Max Historical Gain (4d): +42.6%
  • Max Historical Loss (4d): -32.5%