Finance

BGSF Move Probability $4.00 -0.13 (-3.1%)

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)
48.8%
Stock touched +5.0% ($4.20) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
32.7%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.49x
You are 1.5x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±14.1%
$3.44 — $4.56

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%.

-34.9% to -27.0%: 10 occurrences (2.0%) -31.0% -27.0% to -19.1%: 36 occurrences (7.1%) -19.1% to -11.2%: 63 occurrences (12.4%) -11.2% to -3.3%: 85 occurrences (16.7%) -7.3% -3.3% to +4.6%: 145 occurrences (28.5%) +4.6% to +12.5%: 85 occurrences (16.7%) +12.5% to +20.4%: 45 occurrences (8.9%) 16.4% +20.4% to +28.3%: 21 occurrences (4.1%) +28.3% to +36.2%: 5 occurrences (1.0%) +36.2% to +44.1%: 8 occurrences (1.6%) 40.1% +44.1% to +52.0%: 0 occurrences (0.0%) +52.0% to +59.9%: 0 occurrences (0.0%) +59.9% to +67.8%: 1 occurrences (0.2%) 63.8% +67.8% to +75.7%: 1 occurrences (0.2%) +75.7% to +83.6%: 1 occurrences (0.2%) +83.6% to +91.5%: 2 occurrences (0.4%) 87.5%
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) 48.8% 32.7% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 14.0% Adjusts normal bell curve for real-world skewness (1.51) and kurtosis (14.77).
Standard Normal (Black-Scholes / GBM) 72.9% 36.4% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 55.0% 36.2% Filters for historical windows that started with volatility similar to current 20-day HV (240 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 59.6%
  • Recent 20-Day HV: 41.2%
  • Parkinson Intraday Volatility: 22.5%
  • Vol Trend: Compressed (-31% vs baseline)

14-Day Return Quantiles

  • Median Return: -0.5%
  • Top 10% Move (90th percentile): +17.5%
  • Bottom 10% Move (10th percentile): -18.2%
  • Max Historical Gain (14d): +91.5%
  • Max Historical Loss (14d): -34.9%