Finance

BLFS Move Probability $38.60 +1.33 (+3.6%)

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)
71.4%
Stock touched +5.0% ($40.53) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
33.1%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.16x
You are 2.2x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±11.6%
$34.13 — $43.07

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 496 historical windows (2024-09-23 to 2026-10-05). The colored bar indicates the win zone for +5.0%.

-21.5% to -18.3%: 5 occurrences (1.0%) -19.9% -18.3% to -15.1%: 7 occurrences (1.4%) -15.1% to -11.9%: 21 occurrences (4.2%) -11.9% to -8.7%: 26 occurrences (5.2%) -10.3% -8.7% to -5.5%: 35 occurrences (7.1%) -5.5% to -2.3%: 65 occurrences (13.1%) -2.3% to +0.9%: 85 occurrences (17.1%) -0.7% +0.9% to +4.0%: 71 occurrences (14.3%) +4.0% to +7.2%: 59 occurrences (11.9%) +7.2% to +10.4%: 41 occurrences (8.3%) 8.8% +10.4% to +13.6%: 35 occurrences (7.1%) +13.6% to +16.8%: 16 occurrences (3.2%) +16.8% to +20.0%: 17 occurrences (3.4%) 18.4% +20.0% to +23.2%: 4 occurrences (0.8%) +23.2% to +26.4%: 4 occurrences (0.8%) +26.4% to +29.6%: 5 occurrences (1.0%) 28.0%
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) 71.4% 33.1% Model-free reality across 496 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 30.2% Adjusts normal bell curve for real-world skewness (-0.02) and kurtosis (2.03).
Standard Normal (Black-Scholes / GBM) 67.4% 33.7% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 65.9% 25.9% Filters for historical windows that started with volatility similar to current 20-day HV (170 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 49.2%
  • Recent 20-Day HV: 31.2%
  • Parkinson Intraday Volatility: 41.2%
  • Vol Trend: Compressed (-37% vs baseline)

14-Day Return Quantiles

  • Median Return: +1.2%
  • Top 10% Move (90th percentile): +13.1%
  • Bottom 10% Move (10th percentile): -9.6%
  • Max Historical Gain (14d): +29.6%
  • Max Historical Loss (14d): -21.5%