Finance

BGMS Move Probability $1.01 +0.04 (+4.6%)

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)
67.7%
Stock touched +5.0% ($1.06) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
25.2%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.69x
You are 2.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±43.2%
$0.57 — $1.45

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%.

-84.6% to -9.3%: 219 occurrences (43.1%) -47.0% -9.3% to +66.0%: 267 occurrences (52.6%) +66.0% to +141.2%: 6 occurrences (1.2%) +141.2% to +216.5%: 2 occurrences (0.4%) 178.9% +216.5% to +291.8%: 0 occurrences (0.0%) +291.8% to +367.1%: 3 occurrences (0.6%) +367.1% to +442.4%: 0 occurrences (0.0%) 404.8% +442.4% to +517.7%: 2 occurrences (0.4%) +517.7% to +593.0%: 3 occurrences (0.6%) +593.0% to +668.3%: 3 occurrences (0.6%) 630.6% +668.3% to +743.5%: 0 occurrences (0.0%) +743.5% to +818.8%: 0 occurrences (0.0%) +818.8% to +894.1%: 1 occurrences (0.2%) 856.5% +894.1% to +969.4%: 0 occurrences (0.0%) +969.4% to +1044.7%: 1 occurrences (0.2%) +1044.7% to +1120.0%: 1 occurrences (0.2%) 1082.3%
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) 67.7% 25.2% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 16.5% Adjusts normal bell curve for real-world skewness (2.45) and kurtosis (39.27).
Standard Normal (Black-Scholes / GBM) 91.0% 45.5% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 68.8% 17.2% Filters for historical windows that started with volatility similar to current 20-day HV (128 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 183.4%
  • Recent 20-Day HV: 70.7%
  • Parkinson Intraday Volatility: 129.3%
  • Vol Trend: Compressed (-61% vs baseline)

14-Day Return Quantiles

  • Median Return: -6.7%
  • Top 10% Move (90th percentile): +22.9%
  • Bottom 10% Move (10th percentile): -46.2%
  • Max Historical Gain (14d): +1120.0%
  • Max Historical Loss (14d): -84.6%