Finance

BH.A Move Probability $2055.09 -84.91 (-4.0%)

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)
44.7%
Stock touched +5.0% ($2157.85) at least once during 14 trading days.
Median first touch: Day 5 of 14
Expiration Close Probability
33.5%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.34x
You are 1.3x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±9.8%
$1854.47 — $2255.72

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%.

-23.5% to -19.4%: 7 occurrences (1.4%) -21.4% -19.4% to -15.4%: 19 occurrences (3.7%) -15.4% to -11.3%: 36 occurrences (7.1%) -11.3% to -7.3%: 43 occurrences (8.5%) -9.3% -7.3% to -3.2%: 31 occurrences (6.1%) -3.2% to +0.8%: 119 occurrences (23.4%) +0.8% to +4.9%: 69 occurrences (13.6%) 2.9% +4.9% to +9.0%: 55 occurrences (10.8%) +9.0% to +13.0%: 41 occurrences (8.1%) +13.0% to +17.1%: 36 occurrences (7.1%) 15.0% +17.1% to +21.1%: 23 occurrences (4.5%) +21.1% to +25.2%: 15 occurrences (3.0%) +25.2% to +29.2%: 6 occurrences (1.2%) 27.2% +29.2% to +33.3%: 3 occurrences (0.6%) +33.3% to +37.3%: 3 occurrences (0.6%) +37.3% to +41.4%: 2 occurrences (0.4%) 39.4%
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) 44.7% 33.5% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 16.1% Adjusts normal bell curve for real-world skewness (-1.61) and kurtosis (14.92).
Standard Normal (Black-Scholes / GBM) 61.7% 30.9% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 44.5% 31.5% Filters for historical windows that started with volatility similar to current 20-day HV (308 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 41.4%
  • Recent 20-Day HV: 39.9%
  • Parkinson Intraday Volatility: 24.0%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: +0.8%
  • Top 10% Move (90th percentile): +17.1%
  • Bottom 10% Move (10th percentile): -13.0%
  • Max Historical Gain (14d): +41.4%
  • Max Historical Loss (14d): -23.5%