Finance

JBIO Move Probability $15.12 +0.25 (+1.7%)

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)
66.5%
Stock touched +5.0% ($15.88) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
39.2%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.70x
You are 1.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±16.5%
$12.62 — $17.62

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%.

-42.3% to -34.9%: 2 occurrences (0.4%) -38.6% -34.9% to -27.4%: 14 occurrences (2.8%) -27.4% to -19.9%: 27 occurrences (5.3%) -19.9% to -12.4%: 51 occurrences (10.0%) -16.2% -12.4% to -5.0%: 67 occurrences (13.2%) -5.0% to +2.5%: 115 occurrences (22.6%) +2.5% to +10.0%: 87 occurrences (17.1%) 6.2% +10.0% to +17.4%: 45 occurrences (8.9%) +17.4% to +24.9%: 33 occurrences (6.5%) +24.9% to +32.4%: 28 occurrences (5.5%) 28.7% +32.4% to +39.9%: 15 occurrences (3.0%) +39.9% to +47.3%: 9 occurrences (1.8%) +47.3% to +54.8%: 4 occurrences (0.8%) 51.1% +54.8% to +62.3%: 6 occurrences (1.2%) +62.3% to +69.8%: 3 occurrences (0.6%) +69.8% to +77.2%: 2 occurrences (0.4%) 73.5%
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) 66.5% 39.2% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 32.7% Adjusts normal bell curve for real-world skewness (0.31) and kurtosis (3.05).
Standard Normal (Black-Scholes / GBM) 76.8% 38.4% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 55.2% 34.4% Filters for historical windows that started with volatility similar to current 20-day HV (125 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 70.1%
  • Recent 20-Day HV: 45.6%
  • Parkinson Intraday Volatility: 56.1%
  • Vol Trend: Compressed (-35% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.9%
  • Top 10% Move (90th percentile): +28.7%
  • Bottom 10% Move (10th percentile): -18.7%
  • Max Historical Gain (14d): +77.2%
  • Max Historical Loss (14d): -42.3%