Finance

ITUB Move Probability $9.71 -0.02 (-0.2%)

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)
51.0%
Stock touched +5.0% ($10.19) at least once during 14 trading days.
Median first touch: Day 6 of 14
Expiration Close Probability
35.2%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.45x
You are 1.4x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±7.8%
$8.95 — $10.46

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%.

-15.0% to -12.5%: 8 occurrences (1.6%) -13.7% -12.5% to -9.9%: 25 occurrences (4.9%) -9.9% to -7.4%: 28 occurrences (5.5%) -7.4% to -4.9%: 48 occurrences (9.4%) -6.2% -4.9% to -2.4%: 44 occurrences (8.7%) -2.4% to +0.2%: 66 occurrences (13.0%) +0.2% to +2.7%: 63 occurrences (12.4%) 1.4% +2.7% to +5.2%: 52 occurrences (10.2%) +5.2% to +7.7%: 45 occurrences (8.9%) +7.7% to +10.2%: 45 occurrences (8.9%) 9.0% +10.2% to +12.8%: 23 occurrences (4.5%) +12.8% to +15.3%: 16 occurrences (3.1%) +15.3% to +17.8%: 17 occurrences (3.3%) 16.6% +17.8% to +20.3%: 15 occurrences (3.0%) +20.3% to +22.9%: 8 occurrences (1.6%) +22.9% to +25.4%: 5 occurrences (1.0%) 24.1%
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) 51.0% 35.2% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 15.3% Adjusts normal bell curve for real-world skewness (0.72) and kurtosis (5.32).
Standard Normal (Black-Scholes / GBM) 53.1% 26.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 61.2% 51.0% Filters for historical windows that started with volatility similar to current 20-day HV (49 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 33.0%
  • Recent 20-Day HV: 62.2%
  • Parkinson Intraday Volatility: 21.1%
  • Vol Trend: Expanded (+88% vs baseline)

14-Day Return Quantiles

  • Median Return: +1.7%
  • Top 10% Move (90th percentile): +14.6%
  • Bottom 10% Move (10th percentile): -8.2%
  • Max Historical Gain (14d): +25.4%
  • Max Historical Loss (14d): -15.0%