Finance

ITP Move Probability $0.13 +0.01 (+5.3%)

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)
60.8%
Stock touched +5.0% ($0.13) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
23.0%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.64x
You are 2.6x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±28.3%
$0.09 — $0.16

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%.

-57.2% to -42.3%: 2 occurrences (0.4%) -49.7% -42.3% to -27.5%: 18 occurrences (3.5%) -27.5% to -12.6%: 54 occurrences (10.6%) -12.6% to +2.3%: 277 occurrences (54.5%) -5.2% +2.3% to +17.1%: 112 occurrences (22.0%) +17.1% to +32.0%: 23 occurrences (4.5%) +32.0% to +46.9%: 6 occurrences (1.2%) 39.4% +46.9% to +61.7%: 4 occurrences (0.8%) +61.7% to +76.6%: 1 occurrences (0.2%) +76.6% to +91.5%: 3 occurrences (0.6%) 84.0% +91.5% to +106.3%: 2 occurrences (0.4%) +106.3% to +121.2%: 2 occurrences (0.4%) +121.2% to +136.1%: 0 occurrences (0.0%) 128.6% +136.1% to +150.9%: 2 occurrences (0.4%) +150.9% to +165.8%: 1 occurrences (0.2%) +165.8% to +180.7%: 1 occurrences (0.2%) 173.2%
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) 60.8% 23.0% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 8.7% Adjusts normal bell curve for real-world skewness (1.23) and kurtosis (48.0).
Standard Normal (Black-Scholes / GBM) 86.3% 43.1% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 64.2% 23.2% Filters for historical windows that started with volatility similar to current 20-day HV (246 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 119.9%
  • Recent 20-Day HV: 71.2%
  • Parkinson Intraday Volatility: 88.8%
  • Vol Trend: Compressed (-41% vs baseline)

14-Day Return Quantiles

  • Median Return: -3.1%
  • Top 10% Move (90th percentile): +15.7%
  • Bottom 10% Move (10th percentile): -17.8%
  • Max Historical Gain (14d): +180.7%
  • Max Historical Loss (14d): -57.2%