Finance

BBSI Move Probability $31.84 -0.27 (-0.8%)

Real historical back-data analysis: evaluates rolling trading-day windows to determine the probability of a stock touching or closing at your target move.

← Back to BBSI Options chain →
Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
41.5%
Stock touched +5.0% ($33.43) at least once during 14 trading days.
Median first touch: Day 7 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
1.97x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±8.0%
$29.29 — $34.39

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%.

-28.3% to -25.2%: 2 occurrences (0.4%) -26.7% -25.2% to -22.1%: 2 occurrences (0.4%) -22.1% to -19.1%: 7 occurrences (1.4%) -19.1% to -16.0%: 15 occurrences (3.0%) -17.5% -16.0% to -13.0%: 15 occurrences (3.0%) -13.0% to -9.9%: 6 occurrences (1.2%) -9.9% to -6.8%: 24 occurrences (4.7%) -8.4% -6.8% to -3.8%: 56 occurrences (11.0%) -3.8% to -0.7%: 81 occurrences (15.9%) -0.7% to +2.4%: 102 occurrences (20.1%) 0.8% +2.4% to +5.4%: 104 occurrences (20.5%) +5.4% to +8.5%: 45 occurrences (8.9%) +8.5% to +11.5%: 26 occurrences (5.1%) 10.0% +11.5% to +14.6%: 12 occurrences (2.4%) +14.6% to +17.7%: 9 occurrences (1.8%) +17.7% to +20.7%: 2 occurrences (0.4%) 19.2%
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) 41.5% 21.1% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 9.6% Adjusts normal bell curve for real-world skewness (-2.76) and kurtosis (23.01).
Standard Normal (Black-Scholes / GBM) 54.2% 27.1% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 42.7% 22.2% Filters for historical windows that started with volatility similar to current 20-day HV (356 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 34.0%
  • Recent 20-Day HV: 27.0%
  • Parkinson Intraday Volatility: 23.1%
  • Vol Trend: Compressed (-21% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.9%
  • Top 10% Move (90th percentile): +8.1%
  • Bottom 10% Move (10th percentile): -8.9%
  • Max Historical Gain (14d): +20.7%
  • Max Historical Loss (14d): -28.3%