Finance

BCIC Move Probability $5.94 -0.41 (-6.5%)

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% ($6.24) at least once during 14 trading days.
Median first touch: Day 8 of 14
Expiration Close Probability
15.6%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.58x
You are 1.6x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±5.9%
$5.59 — $6.29

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%.

-34.6% to -31.6%: 5 occurrences (1.0%) -33.1% -31.6% to -28.5%: 1 occurrences (0.2%) -28.5% to -25.4%: 2 occurrences (0.4%) -25.4% to -22.4%: 4 occurrences (0.8%) -23.9% -22.4% to -19.3%: 6 occurrences (1.2%) -19.3% to -16.3%: 7 occurrences (1.4%) -16.3% to -13.2%: 5 occurrences (1.0%) -14.7% -13.2% to -10.1%: 15 occurrences (3.0%) -10.1% to -7.1%: 23 occurrences (4.5%) -7.1% to -4.0%: 63 occurrences (12.4%) -5.5% -4.0% to -0.9%: 120 occurrences (23.6%) -0.9% to +2.1%: 119 occurrences (23.4%) +2.1% to +5.2%: 63 occurrences (12.4%) 3.7% +5.2% to +8.3%: 44 occurrences (8.7%) +8.3% to +11.3%: 25 occurrences (4.9%) +11.3% to +14.4%: 6 occurrences (1.2%) 12.9%
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% 15.6% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 7.2% Adjusts normal bell curve for real-world skewness (-1.43) and kurtosis (11.01).
Standard Normal (Black-Scholes / GBM) 40.8% 20.4% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 27.9% 12.3% Filters for historical windows that started with volatility similar to current 20-day HV (204 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 25.0%
  • Recent 20-Day HV: 30.0%
  • Parkinson Intraday Volatility: 12.8%
  • Vol Trend: Expanded (+20% vs baseline)

14-Day Return Quantiles

  • Median Return: -0.8%
  • Top 10% Move (90th percentile): +6.4%
  • Bottom 10% Move (10th percentile): -8.8%
  • Max Historical Gain (14d): +14.4%
  • Max Historical Loss (14d): -34.6%