Finance

BAP Move Probability $388.51 -2.00 (-0.5%)

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)
51.2%
Stock touched +5.0% ($407.94) at least once during 14 trading days.
Median first touch: Day 7 of 14
Expiration Close Probability
29.9%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.71x
You are 1.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±6.8%
$361.98 — $415.04

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%.

-11.6% to -9.5%: 6 occurrences (1.2%) -10.5% -9.5% to -7.4%: 7 occurrences (1.4%) -7.4% to -5.3%: 20 occurrences (3.9%) -5.3% to -3.2%: 40 occurrences (7.9%) -4.3% -3.2% to -1.1%: 68 occurrences (13.4%) -1.1% to +1.0%: 70 occurrences (13.8%) +1.0% to +3.1%: 86 occurrences (16.9%) 2.0% +3.1% to +5.2%: 67 occurrences (13.2%) +5.2% to +7.3%: 46 occurrences (9.1%) +7.3% to +9.4%: 36 occurrences (7.1%) 8.3% +9.4% to +11.5%: 29 occurrences (5.7%) +11.5% to +13.6%: 12 occurrences (2.4%) +13.6% to +15.7%: 6 occurrences (1.2%) 14.6% +15.7% to +17.8%: 4 occurrences (0.8%) +17.8% to +19.9%: 5 occurrences (1.0%) +19.9% to +22.0%: 6 occurrences (1.2%) 20.9%
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) 51.2% 29.9% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 13.4% Adjusts normal bell curve for real-world skewness (-0.3) and kurtosis (5.75).
Standard Normal (Black-Scholes / GBM) 47.5% 23.7% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 53.4% 30.3% Filters for historical windows that started with volatility similar to current 20-day HV (251 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 29.0%
  • Recent 20-Day HV: 18.4%
  • Parkinson Intraday Volatility: 23.1%
  • Vol Trend: Compressed (-37% vs baseline)

14-Day Return Quantiles

  • Median Return: +2.0%
  • Top 10% Move (90th percentile): +10.1%
  • Bottom 10% Move (10th percentile): -4.2%
  • Max Historical Gain (14d): +22.0%
  • Max Historical Loss (14d): -11.6%