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)
56.0%
Stock touched +3.5% ($59.92) at least once during 10 trading days.
Median first touch: Day 5 of 10
Expiration Close Probability
32.9%
Stock closed at or beyond +3.5% at the end of the 10-day window.
The Touch Multiple
1.70x
You are 1.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±5.0%
$54.99 — $60.79

Historical 10-Day Return Distribution

Frequency of rolling 10-day percentage returns over 511 historical windows (2024-08-19 to 2026-09-16). 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%: 9 occurrences (1.8%) -8.9% to -6.8%: 13 occurrences (2.5%) -6.8% to -4.8%: 31 occurrences (6.1%) -5.8% -4.8% to -2.7%: 57 occurrences (11.2%) -2.7% to -0.7%: 57 occurrences (11.2%) -0.7% to +1.3%: 80 occurrences (15.7%) 0.3% +1.3% to +3.4%: 83 occurrences (16.2%) +3.4% to +5.4%: 78 occurrences (15.3%) +5.4% to +7.5%: 43 occurrences (8.4%) 6.4% +7.5% to +9.5%: 35 occurrences (6.8%) +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) 56.0% 32.9% Model-free reality across 511 historical 10-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 12.4% Adjusts normal bell curve for real-world skewness (-0.97) and kurtosis (8.66).
Standard Normal (Black-Scholes / GBM) 49.2% 24.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 56.8% 35.5% Filters for historical windows that started with volatility similar to current 20-day HV (380 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

10-Day Return Quantiles

  • Median Return: +1.4%
  • Top 10% Move (90th percentile): +7.5%
  • Bottom 10% Move (10th percentile): -5.5%
  • Max Historical Gain (10d): +13.6%
  • Max Historical Loss (10d): -19.1%