Finance

BLLN Move Probability $104.53 +1.03 (+1.0%)

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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Touch Probability (First Passage)
86.7%
Stock touched +5.0% ($109.76) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
46.0%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.88x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±22.4%
$81.15 — $127.91

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 226 historical windows (2025-11-06 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-34.4% to -30.3%: 6 occurrences (2.7%) -32.4% -30.3% to -26.3%: 6 occurrences (2.7%) -26.3% to -22.3%: 9 occurrences (4.0%) -22.3% to -18.3%: 9 occurrences (4.0%) -20.3% -18.3% to -14.2%: 16 occurrences (7.1%) -14.2% to -10.2%: 6 occurrences (2.7%) -10.2% to -6.2%: 13 occurrences (5.8%) -8.2% -6.2% to -2.1%: 19 occurrences (8.4%) -2.1% to +1.9%: 20 occurrences (8.8%) +1.9% to +5.9%: 28 occurrences (12.4%) 3.9% +5.9% to +9.9%: 24 occurrences (10.6%) +9.9% to +14.0%: 26 occurrences (11.5%) +14.0% to +18.0%: 14 occurrences (6.2%) 16.0% +18.0% to +22.0%: 13 occurrences (5.8%) +22.0% to +26.1%: 11 occurrences (4.9%) +26.1% to +30.1%: 6 occurrences (2.7%) 28.1%
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) 86.7% 46.0% Model-free reality across 226 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 43.1% Adjusts normal bell curve for real-world skewness (-2.33) and kurtosis (18.14).
Standard Normal (Black-Scholes / GBM) 82.7% 41.4% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 88.2% 43.1% Filters for historical windows that started with volatility similar to current 20-day HV (144 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 94.9%
  • Recent 20-Day HV: 73.7%
  • Parkinson Intraday Volatility: 66.7%
  • Vol Trend: Compressed (-22% vs baseline)

14-Day Return Quantiles

  • Median Return: +3.3%
  • Top 10% Move (90th percentile): +19.6%
  • Bottom 10% Move (10th percentile): -21.7%
  • Max Historical Gain (14d): +30.1%
  • Max Historical Loss (14d): -34.4%