Finance

BA Move Probability $192.27 +1.95 (+1.0%)

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)
55.3%
Stock touched +5.0% ($201.88) at least once during 14 trading days.
Median first touch: Day 5 of 14
Expiration Close Probability
29.3%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.89x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±8.3%
$176.36 — $208.18

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%.

-20.0% to -16.8%: 3 occurrences (0.6%) -18.4% -16.8% to -13.6%: 9 occurrences (1.8%) -13.6% to -10.4%: 27 occurrences (5.3%) -10.4% to -7.2%: 41 occurrences (8.1%) -8.8% -7.2% to -4.0%: 75 occurrences (14.8%) -4.0% to -0.8%: 70 occurrences (13.8%) -0.8% to +2.4%: 91 occurrences (17.9%) 0.8% +2.4% to +5.6%: 55 occurrences (10.8%) +5.6% to +8.8%: 34 occurrences (6.7%) +8.8% to +12.0%: 36 occurrences (7.1%) 10.4% +12.0% to +15.2%: 44 occurrences (8.7%) +15.2% to +18.4%: 14 occurrences (2.8%) +18.4% to +21.6%: 4 occurrences (0.8%) 20.0% +21.6% to +24.8%: 2 occurrences (0.4%) +24.8% to +27.9%: 0 occurrences (0.0%) +27.9% to +31.1%: 3 occurrences (0.6%) 29.5%
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) 55.3% 29.3% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 16.4% Adjusts normal bell curve for real-world skewness (0.29) and kurtosis (5.56).
Standard Normal (Black-Scholes / GBM) 55.5% 27.8% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 53.1% 28.0% Filters for historical windows that started with volatility similar to current 20-day HV (422 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 35.1%
  • Recent 20-Day HV: 33.9%
  • Parkinson Intraday Volatility: 28.6%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: -0.1%
  • Top 10% Move (90th percentile): +13.2%
  • Bottom 10% Move (10th percentile): -9.2%
  • Max Historical Gain (14d): +31.1%
  • Max Historical Loss (14d): -20.0%