Finance

BHF Move Probability $46.91 -0.76 (-1.6%)

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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Touch Probability (First Passage)
34.8%
Stock touched +5.0% ($49.26) at least once during 14 trading days.
Median first touch: Day 5 of 14
Expiration Close Probability
20.1%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.74x
You are 1.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±10.7%
$41.88 — $51.94

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%.

-19.7% to -15.8%: 13 occurrences (2.6%) -17.7% -15.8% to -11.8%: 20 occurrences (3.9%) -11.8% to -7.8%: 36 occurrences (7.1%) -7.8% to -3.9%: 73 occurrences (14.4%) -5.9% -3.9% to +0.1%: 161 occurrences (31.7%) +0.1% to +4.0%: 89 occurrences (17.5%) +4.0% to +8.0%: 41 occurrences (8.1%) 6.0% +8.0% to +12.0%: 23 occurrences (4.5%) +12.0% to +15.9%: 16 occurrences (3.1%) +15.9% to +19.9%: 8 occurrences (1.6%) 17.9% +19.9% to +23.8%: 10 occurrences (2.0%) +23.8% to +27.8%: 3 occurrences (0.6%) +27.8% to +31.8%: 4 occurrences (0.8%) 29.8% +31.8% to +35.7%: 1 occurrences (0.2%) +35.7% to +39.7%: 0 occurrences (0.0%) +39.7% to +43.6%: 10 occurrences (2.0%) 41.7%
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) 34.8% 20.1% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 4.0% Adjusts normal bell curve for real-world skewness (3.22) and kurtosis (27.77).
Standard Normal (Black-Scholes / GBM) 64.9% 32.5% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 39.5% 18.4% Filters for historical windows that started with volatility similar to current 20-day HV (114 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 45.5%
  • Recent 20-Day HV: 23.2%
  • Parkinson Intraday Volatility: 30.4%
  • Vol Trend: Compressed (-49% vs baseline)

14-Day Return Quantiles

  • Median Return: -0.6%
  • Top 10% Move (90th percentile): +12.0%
  • Bottom 10% Move (10th percentile): -9.8%
  • Max Historical Gain (14d): +43.6%
  • Max Historical Loss (14d): -19.7%