Finance

IRON Move Probability $75.96 -3.50 (-4.4%)

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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Touch Probability (First Passage)
58.9%
Stock touched +5.0% ($79.76) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
29.3%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.01x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±13.7%
$65.58 — $86.34

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%.

-36.4% to -31.6%: 2 occurrences (0.4%) -34.0% -31.6% to -26.8%: 3 occurrences (0.6%) -26.8% to -21.9%: 3 occurrences (0.6%) -21.9% to -17.1%: 12 occurrences (2.4%) -19.5% -17.1% to -12.3%: 36 occurrences (7.1%) -12.3% to -7.5%: 30 occurrences (5.9%) -7.5% to -2.7%: 77 occurrences (15.2%) -5.1% -2.7% to +2.2%: 126 occurrences (24.8%) +2.2% to +7.0%: 100 occurrences (19.7%) +7.0% to +11.8%: 44 occurrences (8.7%) 9.4% +11.8% to +16.6%: 33 occurrences (6.5%) +16.6% to +21.4%: 14 occurrences (2.8%) +21.4% to +26.3%: 8 occurrences (1.6%) 23.9% +26.3% to +31.1%: 8 occurrences (1.6%) +31.1% to +35.9%: 7 occurrences (1.4%) +35.9% to +40.7%: 5 occurrences (1.0%) 38.3%
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) 58.9% 29.3% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 9.2% Adjusts normal bell curve for real-world skewness (1.33) and kurtosis (20.12).
Standard Normal (Black-Scholes / GBM) 72.1% 36.1% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 75.4% 27.9% Filters for historical windows that started with volatility similar to current 20-day HV (61 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 58.0%
  • Recent 20-Day HV: 125.0%
  • Parkinson Intraday Volatility: 49.5%
  • Vol Trend: Expanded (+116% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.9%
  • Top 10% Move (90th percentile): +13.9%
  • Bottom 10% Move (10th percentile): -12.6%
  • Max Historical Gain (14d): +40.7%
  • Max Historical Loss (14d): -36.4%