Finance

BFS Move Probability $28.74 -0.75 (-2.5%)

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)
16.5%
Stock touched +5.0% ($30.18) at least once during 14 trading days.
Median first touch: Day 9 of 14
Expiration Close Probability
7.1%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.33x
You are 2.3x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±4.7%
$27.39 — $30.09

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%.

-10.6% to -9.2%: 5 occurrences (1.0%) -9.9% -9.2% to -7.7%: 9 occurrences (1.8%) -7.7% to -6.3%: 23 occurrences (4.5%) -6.3% to -4.8%: 32 occurrences (6.3%) -5.6% -4.8% to -3.4%: 36 occurrences (7.1%) -3.4% to -1.9%: 64 occurrences (12.6%) -1.9% to -0.5%: 87 occurrences (17.1%) -1.2% -0.5% to +1.0%: 80 occurrences (15.7%) +1.0% to +2.4%: 71 occurrences (14.0%) +2.4% to +3.9%: 37 occurrences (7.3%) 3.2% +3.9% to +5.3%: 33 occurrences (6.5%) +5.3% to +6.8%: 11 occurrences (2.2%) +6.8% to +8.3%: 3 occurrences (0.6%) 7.5% +8.3% to +9.7%: 11 occurrences (2.2%) +9.7% to +11.2%: 2 occurrences (0.4%) +11.2% to +12.6%: 4 occurrences (0.8%) 11.9%
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) 16.5% 7.1% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 13.9% Adjusts normal bell curve for real-world skewness (-0.04) and kurtosis (0.52).
Standard Normal (Black-Scholes / GBM) 29.9% 14.9% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 17.9% 8.5% Filters for historical windows that started with volatility similar to current 20-day HV (402 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 19.9%
  • Recent 20-Day HV: 17.4%
  • Parkinson Intraday Volatility: 11.3%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: -0.5%
  • Top 10% Move (90th percentile): +4.4%
  • Bottom 10% Move (10th percentile): -5.4%
  • Max Historical Gain (14d): +12.6%
  • Max Historical Loss (14d): -10.6%