Finance

JANX Move Probability $16.93 -0.27 (-1.6%)

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)
65.9%
Stock touched +5.0% ($17.78) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
30.9%
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%)
±19.2%
$13.67 — $20.19

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%.

-59.4% to -53.2%: 4 occurrences (0.8%) -56.3% -53.2% to -46.9%: 2 occurrences (0.4%) -46.9% to -40.6%: 6 occurrences (1.2%) -40.6% to -34.3%: 2 occurrences (0.4%) -37.5% -34.3% to -28.0%: 1 occurrences (0.2%) -28.0% to -21.8%: 14 occurrences (2.8%) -21.8% to -15.5%: 36 occurrences (7.1%) -18.6% -15.5% to -9.2%: 63 occurrences (12.4%) -9.2% to -2.9%: 98 occurrences (19.3%) -2.9% to +3.4%: 108 occurrences (21.3%) 0.2% +3.4% to +9.6%: 74 occurrences (14.6%) +9.6% to +15.9%: 49 occurrences (9.6%) +15.9% to +22.2%: 29 occurrences (5.7%) 19.1% +22.2% to +28.5%: 12 occurrences (2.4%) +28.5% to +34.8%: 8 occurrences (1.6%) +34.8% to +41.0%: 2 occurrences (0.4%) 37.9%
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) 65.9% 30.9% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 6.9% Adjusts normal bell curve for real-world skewness (-5.32) and kurtosis (97.69).
Standard Normal (Black-Scholes / GBM) 80.0% 40.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 67.4% 35.9% Filters for historical windows that started with volatility similar to current 20-day HV (304 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 81.6%
  • Recent 20-Day HV: 44.5%
  • Parkinson Intraday Volatility: 50.2%
  • Vol Trend: Compressed (-45% vs baseline)

14-Day Return Quantiles

  • Median Return: -1.2%
  • Top 10% Move (90th percentile): +15.3%
  • Bottom 10% Move (10th percentile): -16.7%
  • Max Historical Gain (14d): +41.0%
  • Max Historical Loss (14d): -59.4%