Finance

BBNX Move Probability $22.22 +3.00 (+15.6%)

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)
22.5%
Stock touched +5.0% ($23.33) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
13.5%
Stock closed at or beyond +5.0% at the end of the 1-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%)
±5.5%
$21.00 — $23.44

Historical 1-Day Return Distribution

Frequency of rolling 1-day percentage returns over 408 historical windows (2025-01-30 to 2026-09-16). The colored bar indicates the win zone for +5.0%.

-37.3% to -33.4%: 1 occurrences (0.2%) -35.4% -33.4% to -29.4%: 0 occurrences (0.0%) -29.4% to -25.5%: 0 occurrences (0.0%) -25.5% to -21.6%: 0 occurrences (0.0%) -23.5% -21.6% to -17.6%: 0 occurrences (0.0%) -17.6% to -13.7%: 0 occurrences (0.0%) -13.7% to -9.7%: 9 occurrences (2.2%) -11.7% -9.7% to -5.8%: 31 occurrences (7.6%) -5.8% to -1.9%: 84 occurrences (20.6%) -1.9% to +2.1%: 172 occurrences (42.2%) 0.1% +2.1% to +6.0%: 68 occurrences (16.7%) +6.0% to +10.0%: 26 occurrences (6.4%) +10.0% to +13.9%: 10 occurrences (2.5%) 11.9% +13.9% to +17.8%: 4 occurrences (1.0%) +17.8% to +21.8%: 2 occurrences (0.5%) +21.8% to +25.7%: 1 occurrences (0.2%) 23.8%
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) 22.5% 13.5% Model-free reality across 408 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 3.5% Adjusts normal bell curve for real-world skewness (-1.07) and kurtosis (13.03).
Standard Normal (Black-Scholes / GBM) 37.6% 18.8% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 25.2% 15.9% Filters for historical windows that started with volatility similar to current 20-day HV (290 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 87.5%
  • Recent 20-Day HV: 91.1%
  • Parkinson Intraday Volatility: 68.8%
  • Vol Trend: Normal / Consistent

1-Day Return Quantiles

  • Median Return: -0.1%
  • Top 10% Move (90th percentile): +6.2%
  • Bottom 10% Move (10th percentile): -5.7%
  • Max Historical Gain (1d): +25.7%
  • Max Historical Loss (1d): -37.3%