Finance

BHVN Move Probability $14.92 +3.17 (+27.0%)

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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Touch Probability (First Passage)
73.1%
Stock touched +5.0% ($15.67) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
30.1%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.43x
You are 2.4x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±20.6%
$11.84 — $18.00

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 509 historical windows (2024-09-23 to 2026-10-22). The colored bar indicates the win zone for +5.0%.

-56.0% to -49.7%: 6 occurrences (1.2%) -52.9% -49.7% to -43.3%: 6 occurrences (1.2%) -43.3% to -36.9%: 6 occurrences (1.2%) -36.9% to -30.5%: 7 occurrences (1.4%) -33.7% -30.5% to -24.1%: 18 occurrences (3.5%) -24.1% to -17.7%: 30 occurrences (5.9%) -17.7% to -11.3%: 58 occurrences (11.4%) -14.5% -11.3% to -4.9%: 85 occurrences (16.7%) -4.9% to +1.4%: 89 occurrences (17.5%) +1.4% to +7.8%: 83 occurrences (16.3%) 4.6% +7.8% to +14.2%: 46 occurrences (9.0%) +14.2% to +20.6%: 35 occurrences (6.9%) +20.6% to +27.0%: 17 occurrences (3.3%) 23.8% +27.0% to +33.4%: 11 occurrences (2.2%) +33.4% to +39.8%: 7 occurrences (1.4%) +39.8% to +46.2%: 5 occurrences (1.0%) 43.0%
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) 73.1% 30.1% Model-free reality across 509 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 33.1% Adjusts normal bell curve for real-world skewness (-1.25) and kurtosis (15.37).
Standard Normal (Black-Scholes / GBM) 81.3% 40.7% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 75.0% 28.0% Filters for historical windows that started with volatility similar to current 20-day HV (300 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 87.6%
  • Recent 20-Day HV: 101.7%
  • Parkinson Intraday Volatility: 68.3%
  • Vol Trend: Expanded (+16% vs baseline)

14-Day Return Quantiles

  • Median Return: -1.7%
  • Top 10% Move (90th percentile): +18.6%
  • Bottom 10% Move (10th percentile): -21.3%
  • Max Historical Gain (14d): +46.2%
  • Max Historical Loss (14d): -56.0%