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)
1.7%
Stock touched +5.0% ($120.47) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
0.8%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
2.25x
You are 2.2x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±2.1%
$112.34 — $117.12

Historical 1-Day Return Distribution

Frequency of rolling 1-day percentage returns over 521 historical windows (2024-09-23 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-9.0% to -7.8%: 1 occurrences (0.2%) -8.4% -7.8% to -6.6%: 3 occurrences (0.6%) -6.6% to -5.4%: 5 occurrences (1.0%) -5.4% to -4.2%: 8 occurrences (1.5%) -4.8% -4.2% to -3.0%: 15 occurrences (2.9%) -3.0% to -1.9%: 48 occurrences (9.2%) -1.9% to -0.7%: 83 occurrences (15.9%) -1.3% -0.7% to +0.5%: 137 occurrences (26.3%) +0.5% to +1.7%: 138 occurrences (26.5%) +1.7% to +2.9%: 59 occurrences (11.3%) 2.3% +2.9% to +4.1%: 15 occurrences (2.9%) +4.1% to +5.3%: 5 occurrences (1.0%) +5.3% to +6.4%: 1 occurrences (0.2%) 5.9% +6.4% to +7.6%: 0 occurrences (0.0%) +7.6% to +8.8%: 1 occurrences (0.2%) +8.8% to +10.0%: 2 occurrences (0.4%) 9.4%
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) 1.7% 0.8% Model-free reality across 521 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 2.8% Adjusts normal bell curve for real-world skewness (-0.37) and kurtosis (3.13).
Standard Normal (Black-Scholes / GBM) 1.9% 0.9% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 1.5% 0.6% Filters for historical windows that started with volatility similar to current 20-day HV (327 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)

1-Day Return Quantiles

  • Median Return: +0.2%
  • Top 10% Move (90th percentile): +2.1%
  • Bottom 10% Move (10th percentile): -2.5%
  • Max Historical Gain (1d): +10.0%
  • Max Historical Loss (1d): -9.0%