Finance

BAH Move Probability $77.17 -1.34 (-1.7%)

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)
52.7%
Stock touched +5.0% ($81.03) at least once during 14 trading days.
Median first touch: Day 5 of 14
Expiration Close Probability
24.5%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.15x
You are 2.1x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±9.5%
$69.85 — $84.50

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 510 historical windows (2024-09-23 to 2026-10-23). The colored bar indicates the win zone for +5.0%.

-24.7% to -21.8%: 8 occurrences (1.6%) -23.3% -21.8% to -18.9%: 17 occurrences (3.3%) -18.9% to -16.0%: 11 occurrences (2.2%) -16.0% to -13.1%: 25 occurrences (4.9%) -14.5% -13.1% to -10.2%: 30 occurrences (5.9%) -10.2% to -7.2%: 37 occurrences (7.3%) -7.2% to -4.3%: 55 occurrences (10.8%) -5.8% -4.3% to -1.4%: 67 occurrences (13.1%) -1.4% to +1.5%: 63 occurrences (12.4%) +1.5% to +4.4%: 64 occurrences (12.5%) 3.0% +4.4% to +7.3%: 52 occurrences (10.2%) +7.3% to +10.2%: 30 occurrences (5.9%) +10.2% to +13.2%: 28 occurrences (5.5%) 11.7% +13.2% to +16.1%: 13 occurrences (2.5%) +16.1% to +19.0%: 7 occurrences (1.4%) +19.0% to +21.9%: 3 occurrences (0.6%) 20.5%
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) 52.7% 24.5% Model-free reality across 510 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 23.4% Adjusts normal bell curve for real-world skewness (-0.97) and kurtosis (6.64).
Standard Normal (Black-Scholes / GBM) 60.7% 30.4% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 56.2% 27.8% Filters for historical windows that started with volatility similar to current 20-day HV (331 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 40.3%
  • Recent 20-Day HV: 40.1%
  • Parkinson Intraday Volatility: 32.4%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: -1.2%
  • Top 10% Move (90th percentile): +10.2%
  • Bottom 10% Move (10th percentile): -14.3%
  • Max Historical Gain (14d): +21.9%
  • Max Historical Loss (14d): -24.7%