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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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
4.6%
Stock touched +5.0% ($201.88) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
1.7%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
2.67x
You are 2.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±2.2%
$188.02 — $196.52

Historical 1-Day Return Distribution

Frequency of rolling 1-day percentage returns over 521 historical windows (2024-09-23 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-10.5% to -8.9%: 2 occurrences (0.4%) -9.7% -8.9% to -7.3%: 0 occurrences (0.0%) -7.3% to -5.7%: 3 occurrences (0.6%) -5.7% to -4.0%: 6 occurrences (1.2%) -4.8% -4.0% to -2.4%: 45 occurrences (8.6%) -2.4% to -0.8%: 101 occurrences (19.4%) -0.8% to +0.8%: 196 occurrences (37.6%) -0.0% +0.8% to +2.4%: 109 occurrences (20.9%) +2.4% to +4.0%: 43 occurrences (8.3%) +4.0% to +5.7%: 9 occurrences (1.7%) 4.8% +5.7% to +7.3%: 4 occurrences (0.8%) +7.3% to +8.9%: 1 occurrences (0.2%) +8.9% to +10.5%: 1 occurrences (0.2%) 9.7% +10.5% to +12.1%: 0 occurrences (0.0%) +12.1% to +13.7%: 0 occurrences (0.0%) +13.7% to +15.3%: 1 occurrences (0.2%) 14.5%
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) 4.6% 1.7% Model-free reality across 521 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 13.8% Adjusts normal bell curve for real-world skewness (0.29) and kurtosis (5.56).
Standard Normal (Black-Scholes / GBM) 2.7% 1.4% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 3.9% 1.6% Filters for historical windows that started with volatility similar to current 20-day HV (435 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

1-Day Return Quantiles

  • Median Return: +0.0%
  • Top 10% Move (90th percentile): +2.5%
  • Bottom 10% Move (10th percentile): -2.5%
  • Max Historical Gain (1d): +15.3%
  • Max Historical Loss (1d): -10.5%