Finance

BGS Move Probability $2.11 -0.08 (-3.9%)

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)
57.3%
Stock touched +5.0% ($2.22) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
25.0%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.29x
You are 2.3x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±12.7%
$1.84 — $2.38

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%.

-40.1% to -35.6%: 8 occurrences (1.6%) -37.8% -35.6% to -31.1%: 5 occurrences (1.0%) -31.1% to -26.6%: 3 occurrences (0.6%) -26.6% to -22.2%: 22 occurrences (4.3%) -24.4% -22.2% to -17.7%: 11 occurrences (2.2%) -17.7% to -13.2%: 16 occurrences (3.1%) -13.2% to -8.7%: 35 occurrences (6.9%) -11.0% -8.7% to -4.2%: 91 occurrences (17.9%) -4.2% to +0.2%: 93 occurrences (18.3%) +0.2% to +4.7%: 89 occurrences (17.5%) 2.5% +4.7% to +9.2%: 70 occurrences (13.8%) +9.2% to +13.7%: 29 occurrences (5.7%) +13.7% to +18.2%: 18 occurrences (3.5%) 15.9% +18.2% to +22.6%: 16 occurrences (3.1%) +22.6% to +27.1%: 1 occurrences (0.2%) +27.1% to +31.6%: 1 occurrences (0.2%) 29.4%
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) 57.3% 25.0% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 15.8% Adjusts normal bell curve for real-world skewness (-0.94) and kurtosis (17.46).
Standard Normal (Black-Scholes / GBM) 70.2% 35.1% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 55.0% 24.3% Filters for historical windows that started with volatility similar to current 20-day HV (222 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 54.0%
  • Recent 20-Day HV: 62.2%
  • Parkinson Intraday Volatility: 40.4%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: -1.0%
  • Top 10% Move (90th percentile): +10.8%
  • Bottom 10% Move (10th percentile): -16.7%
  • Max Historical Gain (14d): +31.6%
  • Max Historical Loss (14d): -40.1%