Finance

BL Move Probability $34.38 +2.84 (+9.0%)

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)
51.7%
Stock touched +5.0% ($36.09) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
25.3%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.04x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±10.9%
$30.64 — $38.11

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 509 historical windows (2024-09-23 to 2026-10-22). The colored bar indicates the win zone for +5.0%.

-30.8% to -27.3%: 5 occurrences (1.0%) -29.1% -27.3% to -23.8%: 7 occurrences (1.4%) -23.8% to -20.3%: 12 occurrences (2.4%) -20.3% to -16.8%: 11 occurrences (2.2%) -18.5% -16.8% to -13.3%: 26 occurrences (5.1%) -13.3% to -9.7%: 34 occurrences (6.7%) -9.7% to -6.2%: 40 occurrences (7.9%) -8.0% -6.2% to -2.7%: 57 occurrences (11.2%) -2.7% to +0.8%: 88 occurrences (17.3%) +0.8% to +4.3%: 80 occurrences (15.7%) 2.5% +4.3% to +7.8%: 57 occurrences (11.2%) +7.8% to +11.3%: 39 occurrences (7.7%) +11.3% to +14.8%: 34 occurrences (6.7%) 13.1% +14.8% to +18.3%: 13 occurrences (2.6%) +18.3% to +21.9%: 4 occurrences (0.8%) +21.9% to +25.4%: 2 occurrences (0.4%) 23.6%
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) 51.7% 25.3% Model-free reality across 509 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 26.9% Adjusts normal bell curve for real-world skewness (-0.69) and kurtosis (5.45).
Standard Normal (Black-Scholes / GBM) 65.3% 32.7% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 59.7% 31.0% Filters for historical windows that started with volatility similar to current 20-day HV (268 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 46.0%
  • Recent 20-Day HV: 45.5%
  • Parkinson Intraday Volatility: 33.6%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: -0.3%
  • Top 10% Move (90th percentile): +11.6%
  • Bottom 10% Move (10th percentile): -14.2%
  • Max Historical Gain (14d): +25.4%
  • Max Historical Loss (14d): -30.8%