Finance

MSIF Move Probability $11.47 -0.05 (-0.4%)

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)
33.0%
Stock touched +5.0% ($12.04) at least once during 14 trading days.
Median first touch: Day 6 of 14
Expiration Close Probability
13.8%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.40x
You are 2.4x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±6.7%
$10.70 — $12.24

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 421 historical windows (2025-01-29 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-16.3% to -14.1%: 3 occurrences (0.7%) -15.2% -14.1% to -12.0%: 6 occurrences (1.4%) -12.0% to -9.8%: 8 occurrences (1.9%) -9.8% to -7.6%: 18 occurrences (4.3%) -8.7% -7.6% to -5.5%: 33 occurrences (7.8%) -5.5% to -3.3%: 61 occurrences (14.5%) -3.3% to -1.2%: 78 occurrences (18.5%) -2.2% -1.2% to +1.0%: 79 occurrences (18.8%) +1.0% to +3.2%: 46 occurrences (10.9%) +3.2% to +5.3%: 35 occurrences (8.3%) 4.2% +5.3% to +7.5%: 13 occurrences (3.1%) +7.5% to +9.6%: 7 occurrences (1.7%) +9.6% to +11.8%: 11 occurrences (2.6%) 10.7% +11.8% to +14.0%: 13 occurrences (3.1%) +14.0% to +16.1%: 7 occurrences (1.7%) +16.1% to +18.3%: 3 occurrences (0.7%) 17.2%
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) 33.0% 13.8% Model-free reality across 421 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 17.6% Adjusts normal bell curve for real-world skewness (0.25) and kurtosis (2.53).
Standard Normal (Black-Scholes / GBM) 46.6% 23.3% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 24.7% 9.4% Filters for historical windows that started with volatility similar to current 20-day HV (223 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 28.4%
  • Recent 20-Day HV: 20.6%
  • Parkinson Intraday Volatility: 18.8%
  • Vol Trend: Compressed (-28% vs baseline)

14-Day Return Quantiles

  • Median Return: -1.1%
  • Top 10% Move (90th percentile): +7.2%
  • Bottom 10% Move (10th percentile): -6.9%
  • Max Historical Gain (14d): +18.3%
  • Max Historical Loss (14d): -16.3%