Finance

BJRI Move Probability $56.78 -2.29 (-3.9%)

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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Touch Probability (First Passage)
64.1%
Stock touched +5.0% ($59.62) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
33.9%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.89x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±10.0%
$51.11 — $62.45

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 487 historical windows (2024-10-22 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-18.1% to -14.6%: 21 occurrences (4.3%) -16.3% -14.6% to -11.0%: 26 occurrences (5.3%) -11.0% to -7.4%: 38 occurrences (7.8%) -7.4% to -3.8%: 48 occurrences (9.9%) -5.6% -3.8% to -0.3%: 73 occurrences (15.0%) -0.3% to +3.3%: 87 occurrences (17.9%) +3.3% to +6.9%: 61 occurrences (12.5%) 5.1% +6.9% to +10.5%: 41 occurrences (8.4%) +10.5% to +14.1%: 39 occurrences (8.0%) +14.1% to +17.6%: 25 occurrences (5.1%) 15.8% +17.6% to +21.2%: 13 occurrences (2.7%) +21.2% to +24.8%: 4 occurrences (0.8%) +24.8% to +28.4%: 3 occurrences (0.6%) 26.6% +28.4% to +31.9%: 2 occurrences (0.4%) +31.9% to +35.5%: 5 occurrences (1.0%) +35.5% to +39.1%: 1 occurrences (0.2%) 37.3%
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) 64.1% 33.9% Model-free reality across 487 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 21.8% Adjusts normal bell curve for real-world skewness (0.61) and kurtosis (4.21).
Standard Normal (Black-Scholes / GBM) 62.5% 31.2% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 62.8% 30.6% Filters for historical windows that started with volatility similar to current 20-day HV (366 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 42.4%
  • Recent 20-Day HV: 36.0%
  • Parkinson Intraday Volatility: 37.6%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: +1.4%
  • Top 10% Move (90th percentile): +14.2%
  • Bottom 10% Move (10th percentile): -10.8%
  • Max Historical Gain (14d): +39.1%
  • Max Historical Loss (14d): -18.1%