Finance

BFRI Move Probability $0.80 -0.01 (-1.2%)

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)
74.8%
Stock touched +5.0% ($0.84) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
40.9%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.83x
You are 1.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±21.1%
$0.63 — $0.97

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%.

-42.9% to -35.9%: 7 occurrences (1.4%) -39.4% -35.9% to -28.9%: 13 occurrences (2.6%) -28.9% to -21.9%: 40 occurrences (7.9%) -21.9% to -14.9%: 37 occurrences (7.3%) -18.4% -14.9% to -7.9%: 65 occurrences (12.8%) -7.9% to -0.9%: 53 occurrences (10.4%) -0.9% to +6.1%: 99 occurrences (19.5%) 2.6% +6.1% to +13.1%: 68 occurrences (13.4%) +13.1% to +20.1%: 72 occurrences (14.2%) +20.1% to +27.1%: 21 occurrences (4.1%) 23.6% +27.1% to +34.1%: 10 occurrences (2.0%) +34.1% to +41.1%: 11 occurrences (2.2%) +41.1% to +48.1%: 4 occurrences (0.8%) 44.6% +48.1% to +55.1%: 2 occurrences (0.4%) +55.1% to +62.1%: 2 occurrences (0.4%) +62.1% to +69.1%: 4 occurrences (0.8%) 65.6%
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) 74.8% 40.9% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 34.1% Adjusts normal bell curve for real-world skewness (0.36) and kurtosis (4.37).
Standard Normal (Black-Scholes / GBM) 81.7% 40.8% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 75.0% 38.7% Filters for historical windows that started with volatility similar to current 20-day HV (292 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 89.4%
  • Recent 20-Day HV: 65.7%
  • Parkinson Intraday Volatility: 68.2%
  • Vol Trend: Compressed (-26% vs baseline)

14-Day Return Quantiles

  • Median Return: +2.4%
  • Top 10% Move (90th percentile): +20.5%
  • Bottom 10% Move (10th percentile): -23.4%
  • Max Historical Gain (14d): +69.1%
  • Max Historical Loss (14d): -42.9%