Finance

BCOW Move Probability $9.26 -0.80 (-8.0%)

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)
5.1%
Stock touched +5.0% ($9.72) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
1.7%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
3.00x
You are 3.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±3.3%
$8.96 — $9.56

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 350 historical windows (2024-09-23 to 2026-03-06). The colored bar indicates the win zone for +5.0%.

-8.8% to -7.3%: 11 occurrences (3.1%) -8.1% -7.3% to -5.9%: 2 occurrences (0.6%) -5.9% to -4.5%: 0 occurrences (0.0%) -4.5% to -3.1%: 12 occurrences (3.4%) -3.8% -3.1% to -1.7%: 21 occurrences (6.0%) -1.7% to -0.2%: 24 occurrences (6.9%) -0.2% to +1.2%: 260 occurrences (74.3%) 0.5% +1.2% to +2.6%: 5 occurrences (1.4%) +2.6% to +4.0%: 2 occurrences (0.6%) +4.0% to +5.5%: 7 occurrences (2.0%) 4.7% +5.5% to +6.9%: 2 occurrences (0.6%) +6.9% to +8.3%: 2 occurrences (0.6%) +8.3% to +9.7%: 0 occurrences (0.0%) 9.0% +9.7% to +11.1%: 0 occurrences (0.0%) +11.1% to +12.6%: 0 occurrences (0.0%) +12.6% to +14.0%: 2 occurrences (0.6%) 13.3%
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) 5.1% 1.7% Model-free reality across 350 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 0.0% Adjusts normal bell curve for real-world skewness (-1.01) and kurtosis (49.03).
Standard Normal (Black-Scholes / GBM) 13.7% 6.9% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 0.0% 0.0% Filters for historical windows that started with volatility similar to current 20-day HV (217 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 13.9%
  • Recent 20-Day HV: 0.0%
  • Parkinson Intraday Volatility: 5.7%
  • Vol Trend: Compressed (-100% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.0%
  • Top 10% Move (90th percentile): +0.0%
  • Bottom 10% Move (10th percentile): -2.0%
  • Max Historical Gain (14d): +14.0%
  • Max Historical Loss (14d): -8.8%