Finance

BAC Move Probability $49.80 -0.21 (-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)
43.5%
Stock touched +5.0% ($52.28) at least once during 14 trading days.
Median first touch: Day 7 of 14
Expiration Close Probability
28.1%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.55x
You are 1.6x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±5.9%
$46.83 — $52.76

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 508 historical windows (2024-10-03 to 2026-11-02). The colored bar indicates the win zone for +5.0%.

-17.1% to -15.0%: 5 occurrences (1.0%) -16.1% -15.0% to -13.0%: 5 occurrences (1.0%) -13.0% to -11.0%: 10 occurrences (2.0%) -11.0% to -9.0%: 12 occurrences (2.4%) -10.0% -9.0% to -6.9%: 28 occurrences (5.5%) -6.9% to -4.9%: 41 occurrences (8.1%) -4.9% to -2.9%: 44 occurrences (8.7%) -3.9% -2.9% to -0.8%: 44 occurrences (8.7%) -0.8% to +1.2%: 54 occurrences (10.6%) +1.2% to +3.2%: 65 occurrences (12.8%) 2.2% +3.2% to +5.2%: 69 occurrences (13.6%) +5.2% to +7.3%: 53 occurrences (10.4%) +7.3% to +9.3%: 31 occurrences (6.1%) 8.3% +9.3% to +11.3%: 21 occurrences (4.1%) +11.3% to +13.4%: 18 occurrences (3.5%) +13.4% to +15.4%: 8 occurrences (1.6%) 14.4%
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) 43.5% 28.1% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 8.7% Adjusts normal bell curve for real-world skewness (-0.99) and kurtosis (8.5).
Standard Normal (Black-Scholes / GBM) 41.2% 20.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 42.0% 24.3% Filters for historical windows that started with volatility similar to current 20-day HV (395 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 25.2%
  • Recent 20-Day HV: 21.8%
  • Parkinson Intraday Volatility: 21.4%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: +1.6%
  • Top 10% Move (90th percentile): +8.7%
  • Bottom 10% Move (10th percentile): -7.6%
  • Max Historical Gain (14d): +15.4%
  • Max Historical Loss (14d): -17.1%