Finance

IWM Move Probability $276.46 +0.66 (+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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Touch Probability (First Passage)
25.0%
Stock touched +5.0% ($290.28) at least once during 14 trading days.
Median first touch: Day 7 of 14
Expiration Close Probability
15.4%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.63x
You are 1.6x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±4.9%
$262.95 — $289.97

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%.

-15.3% to -13.3%: 1 occurrences (0.2%) -14.3% -13.3% to -11.4%: 4 occurrences (0.8%) -11.4% to -9.5%: 5 occurrences (1.0%) -9.5% to -7.5%: 12 occurrences (2.4%) -8.5% -7.5% to -5.6%: 19 occurrences (3.7%) -5.6% to -3.6%: 40 occurrences (7.9%) -3.6% to -1.7%: 46 occurrences (9.1%) -2.7% -1.7% to +0.2%: 80 occurrences (15.7%) +0.2% to +2.2%: 103 occurrences (20.3%) +2.2% to +4.1%: 97 occurrences (19.1%) 3.1% +4.1% to +6.1%: 46 occurrences (9.1%) +6.1% to +8.0%: 33 occurrences (6.5%) +8.0% to +9.9%: 15 occurrences (3.0%) 9.0% +9.9% to +11.9%: 3 occurrences (0.6%) +11.9% to +13.8%: 3 occurrences (0.6%) +13.8% to +15.8%: 1 occurrences (0.2%) 14.8%
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) 25.0% 15.4% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 8.4% Adjusts normal bell curve for real-world skewness (0.18) and kurtosis (4.62).
Standard Normal (Black-Scholes / GBM) 31.8% 15.9% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 21.5% 13.7% Filters for historical windows that started with volatility similar to current 20-day HV (256 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 20.7%
  • Recent 20-Day HV: 14.5%
  • Parkinson Intraday Volatility: 17.6%
  • Vol Trend: Compressed (-30% vs baseline)

14-Day Return Quantiles

  • Median Return: +1.3%
  • Top 10% Move (90th percentile): +6.4%
  • Bottom 10% Move (10th percentile): -4.9%
  • Max Historical Gain (14d): +15.8%
  • Max Historical Loss (14d): -15.3%