Finance

JBI Move Probability $4.27 +0.02 (+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)
58.5%
Stock touched +5.0% ($4.48) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
22.0%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.65x
You are 2.6x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±12.7%
$3.73 — $4.81

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%.

-41.4% to -36.8%: 9 occurrences (1.8%) -39.1% -36.8% to -32.2%: 6 occurrences (1.2%) -32.2% to -27.6%: 7 occurrences (1.4%) -27.6% to -23.0%: 13 occurrences (2.6%) -25.3% -23.0% to -18.4%: 12 occurrences (2.4%) -18.4% to -13.8%: 8 occurrences (1.6%) -13.8% to -9.2%: 30 occurrences (5.9%) -11.5% -9.2% to -4.7%: 61 occurrences (12.0%) -4.7% to -0.1%: 105 occurrences (20.7%) -0.1% to +4.5%: 139 occurrences (27.4%) 2.2% +4.5% to +9.1%: 57 occurrences (11.2%) +9.1% to +13.7%: 26 occurrences (5.1%) +13.7% to +18.3%: 20 occurrences (3.9%) 16.0% +18.3% to +22.9%: 6 occurrences (1.2%) +22.9% to +27.5%: 6 occurrences (1.2%) +27.5% to +32.1%: 3 occurrences (0.6%) 29.8%
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) 58.5% 22.0% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 18.7% Adjusts normal bell curve for real-world skewness (-3.3) and kurtosis (33.31).
Standard Normal (Black-Scholes / GBM) 70.1% 35.1% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 56.8% 20.1% Filters for historical windows that started with volatility similar to current 20-day HV (359 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 54.0%
  • Recent 20-Day HV: 38.7%
  • Parkinson Intraday Volatility: 39.0%
  • Vol Trend: Compressed (-28% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.0%
  • Top 10% Move (90th percentile): +10.3%
  • Bottom 10% Move (10th percentile): -16.6%
  • Max Historical Gain (14d): +32.1%
  • Max Historical Loss (14d): -41.4%