Finance

BCDA Move Probability $0.98 -0.06 (-5.9%)

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)
65.6%
Stock touched +5.0% ($1.03) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
34.1%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.92x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±19.3%
$0.79 — $1.17

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%.

-43.5% to -36.8%: 6 occurrences (1.2%) -40.2% -36.8% to -30.1%: 9 occurrences (1.8%) -30.1% to -23.4%: 24 occurrences (4.7%) -23.4% to -16.7%: 34 occurrences (6.7%) -20.1% -16.7% to -10.0%: 91 occurrences (17.9%) -10.0% to -3.3%: 92 occurrences (18.1%) -3.3% to +3.4%: 67 occurrences (13.2%) 0.1% +3.4% to +10.1%: 66 occurrences (13.0%) +10.1% to +16.8%: 62 occurrences (12.2%) +16.8% to +23.5%: 29 occurrences (5.7%) 20.2% +23.5% to +30.3%: 12 occurrences (2.4%) +30.3% to +37.0%: 5 occurrences (1.0%) +37.0% to +43.7%: 0 occurrences (0.0%) 40.3% +43.7% to +50.4%: 5 occurrences (1.0%) +50.4% to +57.1%: 3 occurrences (0.6%) +57.1% to +63.8%: 3 occurrences (0.6%) 60.4%
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) 65.6% 34.1% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 32.9% Adjusts normal bell curve for real-world skewness (0.15) and kurtosis (5.41).
Standard Normal (Black-Scholes / GBM) 80.1% 40.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 69.3% 37.9% Filters for historical windows that started with volatility similar to current 20-day HV (319 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 81.9%
  • Recent 20-Day HV: 70.1%
  • Parkinson Intraday Volatility: 49.3%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: -3.4%
  • Top 10% Move (90th percentile): +17.5%
  • Bottom 10% Move (10th percentile): -19.8%
  • Max Historical Gain (14d): +63.8%
  • Max Historical Loss (14d): -43.5%