Finance

BCAB Move Probability $1.79 -1.31 (-42.4%)

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)
69.9%
Stock touched +5.0% ($1.88) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
26.2%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.67x
You are 2.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±30.1%
$1.25 — $2.33

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%.

-63.5% to -52.2%: 25 occurrences (4.9%) -57.9% -52.2% to -40.9%: 32 occurrences (6.3%) -40.9% to -29.6%: 24 occurrences (4.7%) -29.6% to -18.2%: 76 occurrences (15.0%) -23.9% -18.2% to -6.9%: 104 occurrences (20.5%) -6.9% to +4.4%: 108 occurrences (21.3%) +4.4% to +15.7%: 61 occurrences (12.0%) 10.0% +15.7% to +27.0%: 33 occurrences (6.5%) +27.0% to +38.3%: 16 occurrences (3.1%) +38.3% to +49.6%: 7 occurrences (1.4%) 44.0% +49.6% to +61.0%: 7 occurrences (1.4%) +61.0% to +72.3%: 6 occurrences (1.2%) +72.3% to +83.6%: 4 occurrences (0.8%) 77.9% +83.6% to +94.9%: 3 occurrences (0.6%) +94.9% to +106.2%: 0 occurrences (0.0%) +106.2% to +117.5%: 2 occurrences (0.4%) 111.9%
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) 69.9% 26.2% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 47.3% Adjusts normal bell curve for real-world skewness (-1.48) and kurtosis (9.78).
Standard Normal (Black-Scholes / GBM) 87.1% 43.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 127.9%
  • Recent 20-Day HV: 0.0%
  • Parkinson Intraday Volatility: 92.1%
  • Vol Trend: Compressed (-100% vs baseline)

14-Day Return Quantiles

  • Median Return: -7.5%
  • Top 10% Move (90th percentile): +23.2%
  • Bottom 10% Move (10th percentile): -42.4%
  • Max Historical Gain (14d): +117.5%
  • Max Historical Loss (14d): -63.5%