Finance

IVV Move Probability $776.63 +4.19 (+0.5%)

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)
11.6%
Stock touched +5.0% ($815.46) at least once during 14 trading days.
Median first touch: Day 9 of 14
Expiration Close Probability
6.9%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.69x
You are 1.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±3.7%
$747.87 — $805.39

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%.

-12.1% to -10.6%: 1 occurrences (0.2%) -11.4% -10.6% to -9.1%: 3 occurrences (0.6%) -9.1% to -7.6%: 4 occurrences (0.8%) -7.6% to -6.1%: 8 occurrences (1.6%) -6.8% -6.1% to -4.6%: 9 occurrences (1.8%) -4.6% to -3.0%: 23 occurrences (4.5%) -3.0% to -1.5%: 35 occurrences (6.9%) -2.3% -1.5% to -0.0%: 87 occurrences (17.1%) -0.0% to +1.5%: 112 occurrences (22.0%) +1.5% to +3.0%: 124 occurrences (24.4%) 2.3% +3.0% to +4.6%: 56 occurrences (11.0%) +4.6% to +6.1%: 21 occurrences (4.1%) +6.1% to +7.6%: 10 occurrences (2.0%) 6.8% +7.6% to +9.1%: 8 occurrences (1.6%) +9.1% to +10.6%: 3 occurrences (0.6%) +10.6% to +12.1%: 4 occurrences (0.8%) 11.4%
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) 11.6% 6.9% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 1.0% Adjusts normal bell curve for real-world skewness (0.47) and kurtosis (15.6).
Standard Normal (Black-Scholes / GBM) 18.8% 9.4% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 5.2% 1.4% Filters for historical windows that started with volatility similar to current 20-day HV (211 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 15.7%
  • Recent 20-Day HV: 8.8%
  • Parkinson Intraday Volatility: 12.1%
  • Vol Trend: Compressed (-44% vs baseline)

14-Day Return Quantiles

  • Median Return: +1.1%
  • Top 10% Move (90th percentile): +4.3%
  • Bottom 10% Move (10th percentile): -2.7%
  • Max Historical Gain (14d): +12.1%
  • Max Historical Loss (14d): -12.1%