Finance

BKD Move Probability $10.08 +0.01 (+0.1%)

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)
62.2%
Stock touched +5.0% ($10.58) at least once during 14 trading days.
Median first touch: Day 5 of 14
Expiration Close Probability
32.0%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.94x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±9.7%
$9.10 — $11.06

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%.

-20.4% to -16.6%: 11 occurrences (2.3%) -18.5% -16.6% to -12.7%: 12 occurrences (2.5%) -12.7% to -8.8%: 28 occurrences (5.7%) -8.8% to -4.9%: 73 occurrences (15.0%) -6.9% -4.9% to -1.1%: 94 occurrences (19.3%) -1.1% to +2.8%: 64 occurrences (13.1%) +2.8% to +6.7%: 75 occurrences (15.4%) 4.7% +6.7% to +10.5%: 45 occurrences (9.2%) +10.5% to +14.4%: 26 occurrences (5.3%) +14.4% to +18.3%: 23 occurrences (4.7%) 16.3% +18.3% to +22.1%: 9 occurrences (1.8%) +22.1% to +26.0%: 8 occurrences (1.6%) +26.0% to +29.9%: 10 occurrences (2.1%) 28.0% +29.9% to +33.8%: 4 occurrences (0.8%) +33.8% to +37.6%: 3 occurrences (0.6%) +37.6% to +41.5%: 2 occurrences (0.4%) 39.6%
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) 62.2% 32.0% Model-free reality across 487 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 22.2% Adjusts normal bell curve for real-world skewness (0.14) and kurtosis (4.28).
Standard Normal (Black-Scholes / GBM) 61.6% 30.8% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 59.6% 32.3% Filters for historical windows that started with volatility similar to current 20-day HV (337 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 41.2%
  • Recent 20-Day HV: 34.3%
  • Parkinson Intraday Volatility: 39.9%
  • Vol Trend: Compressed (-17% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.2%
  • Top 10% Move (90th percentile): +16.3%
  • Bottom 10% Move (10th percentile): -9.2%
  • Max Historical Gain (14d): +41.5%
  • Max Historical Loss (14d): -20.4%