Finance

IVVD Move Probability $0.64 -0.00 (-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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Touch Probability (First Passage)
76.4%
Stock touched +5.0% ($0.67) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
35.8%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.13x
You are 2.1x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±35.5%
$0.41 — $0.86

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%.

-53.6% to -25.0%: 93 occurrences (18.3%) -39.3% -25.0% to +3.7%: 227 occurrences (44.7%) +3.7% to +32.3%: 124 occurrences (24.4%) +32.3% to +60.9%: 33 occurrences (6.5%) 46.6% +60.9% to +89.6%: 11 occurrences (2.2%) +89.6% to +118.2%: 3 occurrences (0.6%) +118.2% to +146.9%: 2 occurrences (0.4%) 132.5% +146.9% to +175.5%: 2 occurrences (0.4%) +175.5% to +204.1%: 1 occurrences (0.2%) +204.1% to +232.8%: 2 occurrences (0.4%) 218.5% +232.8% to +261.4%: 2 occurrences (0.4%) +261.4% to +290.0%: 1 occurrences (0.2%) +290.0% to +318.7%: 3 occurrences (0.6%) 304.4% +318.7% to +347.3%: 0 occurrences (0.0%) +347.3% to +376.0%: 1 occurrences (0.2%) +376.0% to +404.6%: 3 occurrences (0.6%) 390.3%
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) 76.4% 35.8% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 13.8% Adjusts normal bell curve for real-world skewness (3.71) and kurtosis (35.6).
Standard Normal (Black-Scholes / GBM) 89.1% 44.5% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 76.1% 37.4% Filters for historical windows that started with volatility similar to current 20-day HV (297 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 150.5%
  • Recent 20-Day HV: 84.0%
  • Parkinson Intraday Volatility: 113.6%
  • Vol Trend: Compressed (-44% vs baseline)

14-Day Return Quantiles

  • Median Return: -6.9%
  • Top 10% Move (90th percentile): +40.7%
  • Bottom 10% Move (10th percentile): -29.4%
  • Max Historical Gain (14d): +404.6%
  • Max Historical Loss (14d): -53.6%