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)
18.1%
Stock touched +5.0% ($11.85) at least once during 2 trading days.
Median first touch: Day 2 of 2
Expiration Close Probability
9.4%
Stock closed at or beyond +5.0% at the end of the 2-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%)
±4.0%
$10.84 — $11.74

Historical 2-Day Return Distribution

Frequency of rolling 2-day percentage returns over 520 historical windows (2024-09-23 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-16.7% to -14.6%: 1 occurrences (0.2%) -15.7% -14.6% to -12.6%: 0 occurrences (0.0%) -12.6% to -10.5%: 1 occurrences (0.2%) -10.5% to -8.4%: 8 occurrences (1.5%) -9.4% -8.4% to -6.3%: 10 occurrences (1.9%) -6.3% to -4.2%: 40 occurrences (7.7%) -4.2% to -2.2%: 73 occurrences (14.0%) -3.2% -2.2% to -0.1%: 129 occurrences (24.8%) -0.1% to +2.0%: 97 occurrences (18.7%) +2.0% to +4.1%: 87 occurrences (16.7%) 3.0% +4.1% to +6.1%: 47 occurrences (9.0%) +6.1% to +8.2%: 15 occurrences (2.9%) +8.2% to +10.3%: 3 occurrences (0.6%) 9.3% +10.3% to +12.4%: 3 occurrences (0.6%) +12.4% to +14.5%: 5 occurrences (1.0%) +14.5% to +16.5%: 1 occurrences (0.2%) 15.5%
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) 18.1% 9.4% Model-free reality across 520 historical 2-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 8.9% Adjusts normal bell curve for real-world skewness (0.05) and kurtosis (1.79).
Standard Normal (Black-Scholes / GBM) 22.6% 11.3% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 18.2% 18.2% Filters for historical windows that started with volatility similar to current 20-day HV (11 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)

2-Day Return Quantiles

  • Median Return: -0.1%
  • Top 10% Move (90th percentile): +4.9%
  • Bottom 10% Move (10th percentile): -4.5%
  • Max Historical Gain (2d): +16.5%
  • Max Historical Loss (2d): -16.7%