Finance

BLMN Move Probability $10.04 -0.31 (-2.9%)

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)
72.4%
Stock touched +5.0% ($10.54) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
30.9%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.34x
You are 2.3x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±17.7%
$8.27 — $11.81

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 508 historical windows (2024-09-23 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-36.8% to -32.1%: 3 occurrences (0.6%) -34.4% -32.1% to -27.3%: 12 occurrences (2.4%) -27.3% to -22.6%: 12 occurrences (2.4%) -22.6% to -17.9%: 19 occurrences (3.7%) -20.3% -17.9% to -13.2%: 39 occurrences (7.7%) -13.2% to -8.5%: 49 occurrences (9.6%) -8.5% to -3.7%: 82 occurrences (16.1%) -6.1% -3.7% to +1.0%: 74 occurrences (14.6%) +1.0% to +5.7%: 70 occurrences (13.8%) +5.7% to +10.4%: 55 occurrences (10.8%) 8.1% +10.4% to +15.1%: 22 occurrences (4.3%) +15.1% to +19.9%: 20 occurrences (3.9%) +19.9% to +24.6%: 21 occurrences (4.1%) 22.2% +24.6% to +29.3%: 17 occurrences (3.3%) +29.3% to +34.0%: 8 occurrences (1.6%) +34.0% to +38.7%: 5 occurrences (1.0%) 36.4%
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) 72.4% 30.9% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 20.5% Adjusts normal bell curve for real-world skewness (0.29) and kurtosis (14.98).
Standard Normal (Black-Scholes / GBM) 78.2% 39.1% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 72.3% 34.2% Filters for historical windows that started with volatility similar to current 20-day HV (292 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 74.9%
  • Recent 20-Day HV: 54.7%
  • Parkinson Intraday Volatility: 53.8%
  • Vol Trend: Compressed (-27% vs baseline)

14-Day Return Quantiles

  • Median Return: -1.2%
  • Top 10% Move (90th percentile): +19.1%
  • Bottom 10% Move (10th percentile): -17.3%
  • Max Historical Gain (14d): +38.7%
  • Max Historical Loss (14d): -36.8%