Finance

BHM Move Probability $8.27 +0.10 (+1.2%)

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)
24.9%
Stock touched +5.0% ($8.68) at least once during 14 trading days.
Median first touch: Day 6 of 14
Expiration Close Probability
17.6%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.42x
You are 1.4x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±9.0%
$7.53 — $9.01

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 507 historical windows (2024-09-23 to 2026-10-20). The colored bar indicates the win zone for +5.0%.

-22.2% to -18.6%: 4 occurrences (0.8%) -20.4% -18.6% to -15.0%: 19 occurrences (3.7%) -15.0% to -11.4%: 33 occurrences (6.5%) -11.4% to -7.7%: 55 occurrences (10.8%) -9.6% -7.7% to -4.1%: 76 occurrences (15.0%) -4.1% to -0.5%: 61 occurrences (12.0%) -0.5% to +3.1%: 137 occurrences (27.0%) 1.3% +3.1% to +6.7%: 59 occurrences (11.6%) +6.7% to +10.3%: 17 occurrences (3.4%) +10.3% to +14.0%: 7 occurrences (1.4%) 12.2% +14.0% to +17.6%: 6 occurrences (1.2%) +17.6% to +21.2%: 17 occurrences (3.4%) +21.2% to +24.8%: 9 occurrences (1.8%) 23.0% +24.8% to +28.4%: 2 occurrences (0.4%) +28.4% to +32.1%: 0 occurrences (0.0%) +32.1% to +35.7%: 5 occurrences (1.0%) 33.9%
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) 24.9% 17.6% Model-free reality across 507 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 4.9% Adjusts normal bell curve for real-world skewness (-0.07) and kurtosis (18.39).
Standard Normal (Black-Scholes / GBM) 58.7% 29.4% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 25.4% 20.9% Filters for historical windows that started with volatility similar to current 20-day HV (177 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 38.2%
  • Recent 20-Day HV: 21.5%
  • Parkinson Intraday Volatility: 8.6%
  • Vol Trend: Compressed (-44% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.0%
  • Top 10% Move (90th percentile): +8.5%
  • Bottom 10% Move (10th percentile): -11.5%
  • Max Historical Gain (14d): +35.7%
  • Max Historical Loss (14d): -22.2%