Finance

BAM Move Probability $46.05 +0.13 (+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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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
43.9%
Stock touched +5.0% ($48.36) at least once during 14 trading days.
Median first touch: Day 5 of 14
Expiration Close Probability
21.1%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.08x
You are 2.1x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±7.5%
$42.61 — $49.50

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 508 historical windows (2024-09-23 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-22.5% to -19.5%: 4 occurrences (0.8%) -21.0% -19.5% to -16.5%: 2 occurrences (0.4%) -16.5% to -13.5%: 4 occurrences (0.8%) -13.5% to -10.5%: 14 occurrences (2.8%) -12.0% -10.5% to -7.5%: 30 occurrences (5.9%) -7.5% to -4.5%: 64 occurrences (12.6%) -4.5% to -1.5%: 93 occurrences (18.3%) -3.0% -1.5% to +1.5%: 108 occurrences (21.3%) +1.5% to +4.5%: 73 occurrences (14.4%) +4.5% to +7.5%: 28 occurrences (5.5%) 6.0% +7.5% to +10.5%: 37 occurrences (7.3%) +10.5% to +13.5%: 28 occurrences (5.5%) +13.5% to +16.5%: 15 occurrences (3.0%) 15.0% +16.5% to +19.5%: 4 occurrences (0.8%) +19.5% to +22.5%: 3 occurrences (0.6%) +22.5% to +25.5%: 1 occurrences (0.2%) 24.0%
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) 43.9% 21.1% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 22.7% Adjusts normal bell curve for real-world skewness (-0.39) and kurtosis (2.1).
Standard Normal (Black-Scholes / GBM) 51.4% 25.7% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 37.6% 15.9% Filters for historical windows that started with volatility similar to current 20-day HV (189 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 31.7%
  • Recent 20-Day HV: 20.2%
  • Parkinson Intraday Volatility: 26.2%
  • Vol Trend: Compressed (-36% vs baseline)

14-Day Return Quantiles

  • Median Return: -0.4%
  • Top 10% Move (90th percentile): +10.5%
  • Bottom 10% Move (10th percentile): -7.6%
  • Max Historical Gain (14d): +25.5%
  • Max Historical Loss (14d): -22.5%