Finance

BAC Move Probability $57.89 -1.59 (-2.7%)

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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Touch Probability (First Passage)
46.4%
Stock touched +5.0% ($60.78) at least once during 14 trading days.
Median first touch: Day 7 of 14
Expiration Close Probability
29.8%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.56x
You are 1.6x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±5.9%
$54.46 — $61.32

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 507 historical windows (2024-08-19 to 2026-09-16). 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%: 3 occurrences (0.6%) -13.0% to -11.0%: 8 occurrences (1.6%) -11.0% to -9.0%: 7 occurrences (1.4%) -10.0% -9.0% to -6.9%: 18 occurrences (3.6%) -6.9% to -4.9%: 30 occurrences (5.9%) -4.9% to -2.9%: 41 occurrences (8.1%) -3.9% -2.9% to -0.8%: 50 occurrences (9.9%) -0.8% to +1.2%: 66 occurrences (13.0%) +1.2% to +3.2%: 71 occurrences (14.0%) 2.2% +3.2% to +5.2%: 70 occurrences (13.8%) +5.2% to +7.3%: 56 occurrences (11.0%) +7.3% to +9.3%: 35 occurrences (6.9%) 8.3% +9.3% to +11.3%: 21 occurrences (4.1%) +11.3% to +13.4%: 18 occurrences (3.6%) +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) 46.4% 29.8% Model-free reality across 507 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 8.3% Adjusts normal bell curve for real-world skewness (-0.97) and kurtosis (8.66).
Standard Normal (Black-Scholes / GBM) 41.0% 20.5% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 49.3% 32.1% Filters for historical windows that started with volatility similar to current 20-day HV (377 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 25.1%
  • Recent 20-Day HV: 25.1%
  • Parkinson Intraday Volatility: 21.3%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: +2.1%
  • Top 10% Move (90th percentile): +8.7%
  • Bottom 10% Move (10th percentile): -6.1%
  • Max Historical Gain (14d): +15.4%
  • Max Historical Loss (14d): -17.1%