Finance

BCRX Move Probability $7.73 -0.20 (-2.6%)

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)
59.4%
Stock touched +5.0% ($8.12) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
28.1%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.11x
You are 2.1x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±11.6%
$6.83 — $8.63

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%.

-21.2% to -16.3%: 9 occurrences (1.8%) -18.7% -16.3% to -11.4%: 44 occurrences (8.7%) -11.4% to -6.6%: 71 occurrences (14.0%) -6.6% to -1.7%: 115 occurrences (22.6%) -4.1% -1.7% to +3.2%: 104 occurrences (20.5%) +3.2% to +8.0%: 60 occurrences (11.8%) +8.0% to +12.9%: 39 occurrences (7.7%) 10.5% +12.9% to +17.8%: 27 occurrences (5.3%) +17.8% to +22.6%: 14 occurrences (2.8%) +22.6% to +27.5%: 12 occurrences (2.4%) 25.1% +27.5% to +32.4%: 5 occurrences (1.0%) +32.4% to +37.2%: 5 occurrences (1.0%) +37.2% to +42.1%: 2 occurrences (0.4%) 39.7% +42.1% to +46.9%: 0 occurrences (0.0%) +46.9% to +51.8%: 0 occurrences (0.0%) +51.8% to +56.7%: 1 occurrences (0.2%) 54.2%
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) 59.4% 28.1% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 22.2% Adjusts normal bell curve for real-world skewness (0.67) and kurtosis (5.6).
Standard Normal (Black-Scholes / GBM) 67.4% 33.7% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 55.1% 24.3% Filters for historical windows that started with volatility similar to current 20-day HV (301 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 49.3%
  • Recent 20-Day HV: 37.5%
  • Parkinson Intraday Volatility: 43.3%
  • Vol Trend: Compressed (-24% vs baseline)

14-Day Return Quantiles

  • Median Return: -0.9%
  • Top 10% Move (90th percentile): +15.9%
  • Bottom 10% Move (10th percentile): -11.4%
  • Max Historical Gain (14d): +56.7%
  • Max Historical Loss (14d): -21.2%