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)
38.7%
Stock touched +5.0% ($228.52) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
19.3%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
2.00x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±6.5%
$203.49 — $231.78

Historical 1-Day Return Distribution

Frequency of rolling 1-day percentage returns over 522 historical windows (2024-09-23 to 2026-10-22). The colored bar indicates the win zone for +5.0%.

-24.8% to -19.5%: 1 occurrences (0.2%) -22.1% -19.5% to -14.3%: 5 occurrences (1.0%) -14.3% to -9.1%: 22 occurrences (4.2%) -9.1% to -3.8%: 68 occurrences (13.0%) -6.4% -3.8% to +1.4%: 202 occurrences (38.7%) +1.4% to +6.6%: 148 occurrences (28.4%) +6.6% to +11.9%: 57 occurrences (10.9%) 9.3% +11.9% to +17.1%: 10 occurrences (1.9%) +17.1% to +22.4%: 2 occurrences (0.4%) +22.4% to +27.6%: 6 occurrences (1.1%) 25.0% +27.6% to +32.8%: 0 occurrences (0.0%) +32.8% to +38.1%: 0 occurrences (0.0%) +38.1% to +43.3%: 0 occurrences (0.0%) 40.7% +43.3% to +48.5%: 0 occurrences (0.0%) +48.5% to +53.8%: 0 occurrences (0.0%) +53.8% to +59.0%: 1 occurrences (0.2%) 56.4%
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) 38.7% 19.3% Model-free reality across 522 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 11.0% Adjusts normal bell curve for real-world skewness (0.65) and kurtosis (6.05).
Standard Normal (Black-Scholes / GBM) 45.3% 22.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 38.0% 20.1% Filters for historical windows that started with volatility similar to current 20-day HV (374 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

1-Day Return Quantiles

  • Median Return: +0.4%
  • Top 10% Move (90th percentile): +7.9%
  • Bottom 10% Move (10th percentile): -6.4%
  • Max Historical Gain (1d): +59.0%
  • Max Historical Loss (1d): -24.8%