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)
0.4%
Stock touched +5.0% ($290.28) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
0.4%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
1.00x
You are 1.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±1.3%
$272.85 — $280.07

Historical 1-Day Return Distribution

Frequency of rolling 1-day percentage returns over 521 historical windows (2024-09-23 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-6.5% to -5.5%: 1 occurrences (0.2%) -6.0% -5.5% to -4.6%: 0 occurrences (0.0%) -4.6% to -3.7%: 3 occurrences (0.6%) -3.7% to -2.7%: 6 occurrences (1.2%) -3.2% -2.7% to -1.8%: 21 occurrences (4.0%) -1.8% to -0.9%: 79 occurrences (15.2%) -0.9% to +0.1%: 145 occurrences (27.8%) -0.4% +0.1% to +1.0%: 167 occurrences (32.1%) +1.0% to +2.0%: 70 occurrences (13.4%) +2.0% to +2.9%: 20 occurrences (3.8%) 2.4% +2.9% to +3.8%: 6 occurrences (1.2%) +3.8% to +4.8%: 1 occurrences (0.2%) +4.8% to +5.7%: 0 occurrences (0.0%) 5.2% +5.7% to +6.6%: 1 occurrences (0.2%) +6.6% to +7.6%: 0 occurrences (0.0%) +7.6% to +8.5%: 1 occurrences (0.2%) 8.0%
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) 0.4% 0.4% Model-free reality across 521 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 100.0% Adjusts normal bell curve for real-world skewness (0.18) and kurtosis (4.62).
Standard Normal (Black-Scholes / GBM) 0.0% 0.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 0.4% 0.4% Filters for historical windows that started with volatility similar to current 20-day HV (269 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)

1-Day Return Quantiles

  • Median Return: +0.1%
  • Top 10% Move (90th percentile): +1.5%
  • Bottom 10% Move (10th percentile): -1.4%
  • Max Historical Gain (1d): +8.5%
  • Max Historical Loss (1d): -6.5%