Finance

BEAT Move Probability $0.41 -0.00 (-0.7%)

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)
65.9%
Stock touched +5.0% ($0.43) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
26.0%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.54x
You are 2.5x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±33.9%
$0.27 — $0.54

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%.

-88.2% to -79.2%: 3 occurrences (0.6%) -83.7% -79.2% to -70.2%: 0 occurrences (0.0%) -70.2% to -61.3%: 3 occurrences (0.6%) -61.3% to -52.3%: 12 occurrences (2.4%) -56.8% -52.3% to -43.3%: 5 occurrences (1.0%) -43.3% to -34.4%: 8 occurrences (1.6%) -34.4% to -25.4%: 28 occurrences (5.5%) -29.9% -25.4% to -16.4%: 84 occurrences (16.5%) -16.4% to -7.4%: 99 occurrences (19.5%) -7.4% to +1.5%: 105 occurrences (20.7%) -3.0% +1.5% to +10.5%: 77 occurrences (15.2%) +10.5% to +19.5%: 50 occurrences (9.8%) +19.5% to +28.4%: 19 occurrences (3.7%) 24.0% +28.4% to +37.4%: 8 occurrences (1.6%) +37.4% to +46.4%: 5 occurrences (1.0%) +46.4% to +55.4%: 2 occurrences (0.4%) 50.9%
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) 65.9% 26.0% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 56.7% Adjusts normal bell curve for real-world skewness (-7.33) and kurtosis (108.93).
Standard Normal (Black-Scholes / GBM) 88.5% 44.3% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 80.0% 32.0% Filters for historical windows that started with volatility similar to current 20-day HV (25 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 143.7%
  • Recent 20-Day HV: 201.8%
  • Parkinson Intraday Volatility: 86.0%
  • Vol Trend: Expanded (+40% vs baseline)

14-Day Return Quantiles

  • Median Return: -6.5%
  • Top 10% Move (90th percentile): +16.8%
  • Bottom 10% Move (10th percentile): -25.9%
  • Max Historical Gain (14d): +55.4%
  • Max Historical Loss (14d): -88.2%