Finance

BATRA Move Probability $55.45 +0.80 (+1.5%)

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)
24.6%
Stock touched +5.0% ($58.22) at least once during 14 trading days.
Median first touch: Day 7 of 14
Expiration Close Probability
14.8%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.67x
You are 1.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±4.6%
$52.89 — $58.01

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%.

-8.5% to -7.0%: 7 occurrences (1.4%) -7.8% -7.0% to -5.6%: 9 occurrences (1.8%) -5.6% to -4.1%: 28 occurrences (5.5%) -4.1% to -2.7%: 52 occurrences (10.2%) -3.4% -2.7% to -1.3%: 83 occurrences (16.3%) -1.3% to +0.2%: 70 occurrences (13.8%) +0.2% to +1.6%: 74 occurrences (14.6%) 0.9% +1.6% to +3.1%: 54 occurrences (10.6%) +3.1% to +4.5%: 46 occurrences (9.1%) +4.5% to +6.0%: 19 occurrences (3.7%) 5.3% +6.0% to +7.4%: 21 occurrences (4.1%) +7.4% to +8.9%: 11 occurrences (2.2%) +8.9% to +10.3%: 10 occurrences (2.0%) 9.6% +10.3% to +11.8%: 12 occurrences (2.4%) +11.8% to +13.2%: 4 occurrences (0.8%) +13.2% to +14.7%: 8 occurrences (1.6%) 13.9%
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) 24.6% 14.8% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 7.7% Adjusts normal bell curve for real-world skewness (0.25) and kurtosis (4.58).
Standard Normal (Black-Scholes / GBM) 29.1% 14.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 23.9% 12.3% Filters for historical windows that started with volatility similar to current 20-day HV (326 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 19.6%
  • Recent 20-Day HV: 23.1%
  • Parkinson Intraday Volatility: 10.4%
  • Vol Trend: Expanded (+18% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.3%
  • Top 10% Move (90th percentile): +7.0%
  • Bottom 10% Move (10th percentile): -3.8%
  • Max Historical Gain (14d): +14.7%
  • Max Historical Loss (14d): -8.5%