Finance

BEAM Move Probability $24.85 -0.08 (-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)
76.6%
Stock touched +5.0% ($26.09) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
39.2%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.95x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±17.2%
$20.57 — $29.13

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%.

-38.4% to -32.9%: 6 occurrences (1.2%) -35.7% -32.9% to -27.4%: 7 occurrences (1.4%) -27.4% to -21.9%: 19 occurrences (3.7%) -21.9% to -16.4%: 35 occurrences (6.9%) -19.2% -16.4% to -10.9%: 48 occurrences (9.4%) -10.9% to -5.4%: 56 occurrences (11.0%) -5.4% to +0.1%: 71 occurrences (14.0%) -2.6% +0.1% to +5.6%: 77 occurrences (15.2%) +5.6% to +11.1%: 61 occurrences (12.0%) +11.1% to +16.6%: 43 occurrences (8.5%) 13.9% +16.6% to +22.1%: 31 occurrences (6.1%) +22.1% to +27.7%: 27 occurrences (5.3%) +27.7% to +33.2%: 14 occurrences (2.8%) 30.4% +33.2% to +38.7%: 8 occurrences (1.6%) +38.7% to +44.2%: 2 occurrences (0.4%) +44.2% to +49.7%: 3 occurrences (0.6%) 46.9%
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) 76.6% 39.2% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 35.1% Adjusts normal bell curve for real-world skewness (0.24) and kurtosis (1.9).
Standard Normal (Black-Scholes / GBM) 77.7% 38.8% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 86.9% 61.6% Filters for historical windows that started with volatility similar to current 20-day HV (99 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 73.1%
  • Recent 20-Day HV: 44.2%
  • Parkinson Intraday Volatility: 62.7%
  • Vol Trend: Compressed (-40% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.9%
  • Top 10% Move (90th percentile): +22.4%
  • Bottom 10% Move (10th percentile): -18.5%
  • Max Historical Gain (14d): +49.7%
  • Max Historical Loss (14d): -38.4%