Finance

BITO Move Probability $11.29 +0.27 (+2.5%)

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)
59.3%
Stock touched +5.0% ($11.85) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
31.9%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.86x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±10.7%
$10.09 — $12.49

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%.

-33.2% to -28.2%: 1 occurrences (0.2%) -30.7% -28.2% to -23.2%: 8 occurrences (1.6%) -23.2% to -18.1%: 14 occurrences (2.8%) -18.1% to -13.1%: 17 occurrences (3.3%) -15.6% -13.1% to -8.1%: 39 occurrences (7.7%) -8.1% to -3.0%: 94 occurrences (18.5%) -3.0% to +2.0%: 115 occurrences (22.6%) -0.5% +2.0% to +7.0%: 91 occurrences (17.9%) +7.0% to +12.1%: 68 occurrences (13.4%) +12.1% to +17.1%: 27 occurrences (5.3%) 14.6% +17.1% to +22.1%: 15 occurrences (3.0%) +22.1% to +27.2%: 8 occurrences (1.6%) +27.2% to +32.2%: 6 occurrences (1.2%) 29.7% +32.2% to +37.3%: 3 occurrences (0.6%) +37.3% to +42.3%: 1 occurrences (0.2%) +42.3% to +47.3%: 1 occurrences (0.2%) 44.8%
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) 59.3% 31.9% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 28.8% Adjusts normal bell curve for real-world skewness (0.05) and kurtosis (1.79).
Standard Normal (Black-Scholes / GBM) 64.7% 32.4% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 80.0% 70.0% Filters for historical windows that started with volatility similar to current 20-day HV (10 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 45.2%
  • Recent 20-Day HV: 19.9%
  • Parkinson Intraday Volatility: 28.6%
  • Vol Trend: Compressed (-56% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.3%
  • Top 10% Move (90th percentile): +13.5%
  • Bottom 10% Move (10th percentile): -11.4%
  • Max Historical Gain (14d): +47.3%
  • Max Historical Loss (14d): -33.2%