Finance

BE Move Probability $217.63 -21.14 (-8.9%)

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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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
88.4%
Stock touched +5.0% ($228.52) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
51.1%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.73x
You are 1.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±24.3%
$164.70 — $270.57

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 509 historical windows (2024-09-23 to 2026-10-22). The colored bar indicates the win zone for +5.0%.

-37.2% to -25.0%: 22 occurrences (4.3%) -31.1% -25.0% to -12.8%: 50 occurrences (9.8%) -12.8% to -0.6%: 122 occurrences (24.0%) -0.6% to +11.7%: 112 occurrences (22.0%) 5.6% +11.7% to +23.9%: 70 occurrences (13.8%) +23.9% to +36.1%: 52 occurrences (10.2%) +36.1% to +48.3%: 30 occurrences (5.9%) 42.2% +48.3% to +60.6%: 19 occurrences (3.7%) +60.6% to +72.8%: 14 occurrences (2.8%) +72.8% to +85.0%: 4 occurrences (0.8%) 78.9% +85.0% to +97.2%: 3 occurrences (0.6%) +97.2% to +109.4%: 3 occurrences (0.6%) +109.4% to +121.7%: 0 occurrences (0.0%) 115.6% +121.7% to +133.9%: 2 occurrences (0.4%) +133.9% to +146.1%: 4 occurrences (0.8%) +146.1% to +158.3%: 2 occurrences (0.4%) 152.2%
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) 88.4% 51.1% Model-free reality across 509 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 32.9% Adjusts normal bell curve for real-world skewness (0.65) and kurtosis (6.05).
Standard Normal (Black-Scholes / GBM) 84.1% 42.1% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 91.7% 59.6% Filters for historical windows that started with volatility similar to current 20-day HV (361 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 103.2%
  • Recent 20-Day HV: 93.7%
  • Parkinson Intraday Volatility: 80.6%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: +6.1%
  • Top 10% Move (90th percentile): +48.2%
  • Bottom 10% Move (10th percentile): -16.9%
  • Max Historical Gain (14d): +158.3%
  • Max Historical Loss (14d): -37.2%