Finance

BIP Move Probability $36.44 -0.31 (-0.9%)

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)
40.2%
Stock touched +5.0% ($38.26) at least once during 14 trading days.
Median first touch: Day 7 of 14
Expiration Close Probability
20.9%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.92x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±5.7%
$34.37 — $38.50

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%.

-15.7% to -13.8%: 4 occurrences (0.8%) -14.7% -13.8% to -11.9%: 2 occurrences (0.4%) -11.9% to -10.0%: 6 occurrences (1.2%) -10.0% to -8.1%: 8 occurrences (1.6%) -9.1% -8.1% to -6.3%: 29 occurrences (5.7%) -6.3% to -4.4%: 41 occurrences (8.1%) -4.4% to -2.5%: 57 occurrences (11.2%) -3.4% -2.5% to -0.6%: 52 occurrences (10.2%) -0.6% to +1.3%: 78 occurrences (15.4%) +1.3% to +3.1%: 65 occurrences (12.8%) 2.2% +3.1% to +5.0%: 60 occurrences (11.8%) +5.0% to +6.9%: 39 occurrences (7.7%) +6.9% to +8.8%: 23 occurrences (4.5%) 7.8% +8.8% to +10.6%: 22 occurrences (4.3%) +10.6% to +12.5%: 13 occurrences (2.6%) +12.5% to +14.4%: 9 occurrences (1.8%) 13.5%
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) 40.2% 20.9% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 13.3% Adjusts normal bell curve for real-world skewness (-0.07) and kurtosis (3.13).
Standard Normal (Black-Scholes / GBM) 39.0% 19.5% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 40.2% 21.2% Filters for historical windows that started with volatility similar to current 20-day HV (391 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 24.1%
  • Recent 20-Day HV: 22.7%
  • Parkinson Intraday Volatility: 21.5%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: +0.6%
  • Top 10% Move (90th percentile): +7.8%
  • Bottom 10% Move (10th percentile): -6.0%
  • Max Historical Gain (14d): +14.4%
  • Max Historical Loss (14d): -15.7%