Finance

IRM Move Probability $114.73 +1.68 (+1.5%)

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)
47.2%
Stock touched +5.0% ($120.47) at least once during 14 trading days.
Median first touch: Day 6 of 14
Expiration Close Probability
25.8%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.83x
You are 1.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±7.8%
$105.80 — $123.66

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%.

-19.4% to -16.5%: 8 occurrences (1.6%) -18.0% -16.5% to -13.5%: 11 occurrences (2.2%) -13.5% to -10.6%: 16 occurrences (3.1%) -10.6% to -7.6%: 37 occurrences (7.3%) -9.1% -7.6% to -4.7%: 51 occurrences (10.0%) -4.7% to -1.7%: 93 occurrences (18.3%) -1.7% to +1.3%: 85 occurrences (16.7%) -0.2% +1.3% to +4.2%: 60 occurrences (11.8%) +4.2% to +7.2%: 58 occurrences (11.4%) +7.2% to +10.1%: 25 occurrences (4.9%) 8.7% +10.1% to +13.1%: 23 occurrences (4.5%) +13.1% to +16.1%: 22 occurrences (4.3%) +16.1% to +19.0%: 12 occurrences (2.4%) 17.5% +19.0% to +22.0%: 2 occurrences (0.4%) +22.0% to +24.9%: 4 occurrences (0.8%) +24.9% to +27.9%: 1 occurrences (0.2%) 26.4%
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) 47.2% 25.8% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 21.4% Adjusts normal bell curve for real-world skewness (-0.37) and kurtosis (3.13).
Standard Normal (Black-Scholes / GBM) 53.1% 26.5% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 51.6% 28.7% Filters for historical windows that started with volatility similar to current 20-day HV (314 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 33.0%
  • Recent 20-Day HV: 26.2%
  • Parkinson Intraday Volatility: 27.5%
  • Vol Trend: Compressed (-21% vs baseline)

14-Day Return Quantiles

  • Median Return: -0.4%
  • Top 10% Move (90th percentile): +12.1%
  • Bottom 10% Move (10th percentile): -8.7%
  • Max Historical Gain (14d): +27.9%
  • Max Historical Loss (14d): -19.4%