Finance

BEEP Move Probability $2.55 -0.03 (-1.0%)

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)
63.6%
Stock touched +5.0% ($2.68) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
29.3%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.17x
You are 2.2x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±16.7%
$2.12 — $2.98

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%.

-32.9% to -27.1%: 3 occurrences (0.6%) -30.0% -27.1% to -21.2%: 10 occurrences (2.0%) -21.2% to -15.4%: 39 occurrences (7.7%) -15.4% to -9.6%: 75 occurrences (14.8%) -12.5% -9.6% to -3.8%: 82 occurrences (16.1%) -3.8% to +2.1%: 112 occurrences (22.0%) +2.1% to +7.9%: 70 occurrences (13.8%) 5.0% +7.9% to +13.7%: 41 occurrences (8.1%) +13.7% to +19.5%: 33 occurrences (6.5%) +19.5% to +25.4%: 11 occurrences (2.2%) 22.5% +25.4% to +31.2%: 7 occurrences (1.4%) +31.2% to +37.0%: 7 occurrences (1.4%) +37.0% to +42.9%: 3 occurrences (0.6%) 39.9% +42.9% to +48.7%: 6 occurrences (1.2%) +48.7% to +54.5%: 6 occurrences (1.2%) +54.5% to +60.3%: 3 occurrences (0.6%) 57.4%
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) 63.6% 29.3% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 32.2% Adjusts normal bell curve for real-world skewness (0.39) and kurtosis (3.31).
Standard Normal (Black-Scholes / GBM) 77.0% 38.5% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 60.1% 29.0% Filters for historical windows that started with volatility similar to current 20-day HV (338 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 70.9%
  • Recent 20-Day HV: 65.0%
  • Parkinson Intraday Volatility: 43.2%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: -1.6%
  • Top 10% Move (90th percentile): +17.8%
  • Bottom 10% Move (10th percentile): -15.4%
  • Max Historical Gain (14d): +60.3%
  • Max Historical Loss (14d): -32.9%