Finance

BAC Move Probability $50.03 +0.02 (+0.0%)

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)
52.7%
Stock touched +3.5% ($51.78) at least once during 10 trading days.
Median first touch: Day 5 of 10
Expiration Close Probability
31.4%
Stock closed at or beyond +3.5% at the end of the 10-day window.
The Touch Multiple
1.68x
You are 1.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±5.0%
$47.52 — $52.54

Historical 10-Day Return Distribution

Frequency of rolling 10-day percentage returns over 512 historical windows (2024-10-03 to 2026-11-02). The colored bar indicates the win zone for +3.5%.

-19.1% to -17.0%: 3 occurrences (0.6%) -18.1% -17.0% to -15.0%: 1 occurrences (0.2%) -15.0% to -13.0%: 1 occurrences (0.2%) -13.0% to -10.9%: 3 occurrences (0.6%) -11.9% -10.9% to -8.9%: 13 occurrences (2.5%) -8.9% to -6.8%: 19 occurrences (3.7%) -6.8% to -4.8%: 41 occurrences (8.0%) -5.8% -4.8% to -2.7%: 61 occurrences (11.9%) -2.7% to -0.7%: 56 occurrences (10.9%) -0.7% to +1.3%: 71 occurrences (13.9%) 0.3% +1.3% to +3.4%: 77 occurrences (15.0%) +3.4% to +5.4%: 75 occurrences (14.6%) +5.4% to +7.5%: 40 occurrences (7.8%) 6.4% +7.5% to +9.5%: 34 occurrences (6.6%) +9.5% to +11.6%: 12 occurrences (2.3%) +11.6% to +13.6%: 5 occurrences (1.0%) 12.6%
Historical returns Target move zone (+3.5%+) 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) 52.7% 31.4% Model-free reality across 512 historical 10-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 12.8% Adjusts normal bell curve for real-world skewness (-0.99) and kurtosis (8.5).
Standard Normal (Black-Scholes / GBM) 49.4% 24.7% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 52.4% 28.8% Filters for historical windows that started with volatility similar to current 20-day HV (399 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

10-Day Return Quantiles

  • Median Return: +1.0%
  • Top 10% Move (90th percentile): +7.4%
  • Bottom 10% Move (10th percentile): -6.4%
  • Max Historical Gain (10d): +13.6%
  • Max Historical Loss (10d): -19.1%