Finance

BALY Move Probability $13.75 +0.04 (+0.3%)

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)
76.0%
Stock touched +5.0% ($14.44) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
35.4%
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%)
±20.1%
$10.99 — $16.51

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 455 historical windows (2024-12-06 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-38.4% to -32.4%: 8 occurrences (1.8%) -35.4% -32.4% to -26.4%: 20 occurrences (4.4%) -26.4% to -20.4%: 14 occurrences (3.1%) -20.4% to -14.4%: 29 occurrences (6.4%) -17.4% -14.4% to -8.5%: 65 occurrences (14.3%) -8.5% to -2.5%: 75 occurrences (16.5%) -2.5% to +3.5%: 73 occurrences (16.0%) 0.5% +3.5% to +9.5%: 47 occurrences (10.3%) +9.5% to +15.5%: 50 occurrences (11.0%) +15.5% to +21.5%: 21 occurrences (4.6%) 18.5% +21.5% to +27.5%: 13 occurrences (2.9%) +27.5% to +33.4%: 14 occurrences (3.1%) +33.4% to +39.4%: 9 occurrences (2.0%) 36.4% +39.4% to +45.4%: 10 occurrences (2.2%) +45.4% to +51.4%: 2 occurrences (0.4%) +51.4% to +57.4%: 5 occurrences (1.1%) 54.4%
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) 76.0% 35.4% Model-free reality across 455 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 29.1% Adjusts normal bell curve for real-world skewness (0.35) and kurtosis (8.6).
Standard Normal (Black-Scholes / GBM) 80.8% 40.4% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 73.7% 31.7% Filters for historical windows that started with volatility similar to current 20-day HV (259 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 85.2%
  • Recent 20-Day HV: 55.8%
  • Parkinson Intraday Volatility: 87.5%
  • Vol Trend: Compressed (-34% vs baseline)

14-Day Return Quantiles

  • Median Return: -1.1%
  • Top 10% Move (90th percentile): +23.7%
  • Bottom 10% Move (10th percentile): -18.9%
  • Max Historical Gain (14d): +57.4%
  • Max Historical Loss (14d): -38.4%