Finance

BCSF Move Probability $10.05 -0.08 (-0.8%)

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)
20.3%
Stock touched +5.0% ($10.55) at least once during 14 trading days.
Median first touch: Day 8 of 14
Expiration Close Probability
7.5%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.71x
You are 2.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±5.3%
$9.52 — $10.58

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%.

-17.6% to -15.7%: 2 occurrences (0.4%) -16.7% -15.7% to -13.8%: 2 occurrences (0.4%) -13.8% to -11.9%: 4 occurrences (0.8%) -11.9% to -10.1%: 7 occurrences (1.4%) -11.0% -10.1% to -8.2%: 12 occurrences (2.4%) -8.2% to -6.3%: 20 occurrences (3.9%) -6.3% to -4.4%: 43 occurrences (8.5%) -5.3% -4.4% to -2.5%: 49 occurrences (9.6%) -2.5% to -0.6%: 71 occurrences (14.0%) -0.6% to +1.3%: 111 occurrences (21.9%) 0.3% +1.3% to +3.1%: 99 occurrences (19.5%) +3.1% to +5.0%: 51 occurrences (10.0%) +5.0% to +6.9%: 21 occurrences (4.1%) 6.0% +6.9% to +8.8%: 11 occurrences (2.2%) +8.8% to +10.7%: 2 occurrences (0.4%) +10.7% to +12.6%: 3 occurrences (0.6%) 11.6%
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) 20.3% 7.5% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 10.9% Adjusts normal bell curve for real-world skewness (-0.22) and kurtosis (3.93).
Standard Normal (Black-Scholes / GBM) 35.9% 17.9% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 18.8% 9.0% Filters for historical windows that started with volatility similar to current 20-day HV (345 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 22.5%
  • Recent 20-Day HV: 19.5%
  • Parkinson Intraday Volatility: 17.2%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: +0.2%
  • Top 10% Move (90th percentile): +4.4%
  • Bottom 10% Move (10th percentile): -6.0%
  • Max Historical Gain (14d): +12.6%
  • Max Historical Loss (14d): -17.6%