Finance

BDX Move Probability $194.31 +0.57 (+0.3%)

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)
34.8%
Stock touched +5.0% ($204.03) at least once during 14 trading days.
Median first touch: Day 7 of 14
Expiration Close Probability
18.5%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.88x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±6.7%
$181.33 — $207.29

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%.

-18.9% to -16.5%: 3 occurrences (0.6%) -17.7% -16.5% to -14.1%: 10 occurrences (2.0%) -14.1% to -11.6%: 11 occurrences (2.2%) -11.6% to -9.2%: 14 occurrences (2.8%) -10.4% -9.2% to -6.8%: 15 occurrences (3.0%) -6.8% to -4.3%: 39 occurrences (7.7%) -4.3% to -1.9%: 69 occurrences (13.6%) -3.1% -1.9% to +0.5%: 95 occurrences (18.7%) +0.5% to +3.0%: 101 occurrences (19.9%) +3.0% to +5.4%: 63 occurrences (12.4%) 4.2% +5.4% to +7.8%: 42 occurrences (8.3%) +7.8% to +10.3%: 16 occurrences (3.1%) +10.3% to +12.7%: 16 occurrences (3.1%) 11.5% +12.7% to +15.1%: 5 occurrences (1.0%) +15.1% to +17.5%: 7 occurrences (1.4%) +17.5% to +20.0%: 2 occurrences (0.4%) 18.8%
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) 34.8% 18.5% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 0.9% Adjusts normal bell curve for real-world skewness (-2.44) and kurtosis (30.81).
Standard Normal (Black-Scholes / GBM) 46.5% 23.3% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 39.6% 21.1% Filters for historical windows that started with volatility similar to current 20-day HV (318 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 28.3%
  • Recent 20-Day HV: 22.0%
  • Parkinson Intraday Volatility: 21.3%
  • Vol Trend: Compressed (-22% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.4%
  • Top 10% Move (90th percentile): +7.4%
  • Bottom 10% Move (10th percentile): -6.9%
  • Max Historical Gain (14d): +20.0%
  • Max Historical Loss (14d): -18.9%