Finance

BMNM Move Probability $2.94 +0.24 (+9.1%)

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)
58.7%
Stock touched +5.0% ($3.09) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
39.2%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.50x
You are 1.5x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±18.0%
$2.42 — $3.47

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%.

-33.3% to -26.8%: 8 occurrences (1.6%) -30.1% -26.8% to -20.3%: 4 occurrences (0.8%) -20.3% to -13.8%: 20 occurrences (4.1%) -13.8% to -7.4%: 57 occurrences (11.7%) -10.6% -7.4% to -0.9%: 125 occurrences (25.7%) -0.9% to +5.6%: 85 occurrences (17.5%) +5.6% to +12.1%: 62 occurrences (12.7%) 8.9% +12.1% to +18.6%: 50 occurrences (10.3%) +18.6% to +25.1%: 26 occurrences (5.3%) +25.1% to +31.6%: 16 occurrences (3.3%) 28.4% +31.6% to +38.1%: 11 occurrences (2.3%) +38.1% to +44.6%: 7 occurrences (1.4%) +44.6% to +51.1%: 5 occurrences (1.0%) 47.9% +51.1% to +57.6%: 5 occurrences (1.0%) +57.6% to +64.1%: 1 occurrences (0.2%) +64.1% to +70.6%: 5 occurrences (1.0%) 67.3%
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) 58.7% 39.2% Model-free reality across 487 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 30.4% Adjusts normal bell curve for real-world skewness (0.25) and kurtosis (6.24).
Standard Normal (Black-Scholes / GBM) 78.6% 39.3% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 59.5% 40.5% Filters for historical windows that started with volatility similar to current 20-day HV (210 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 76.3%
  • Recent 20-Day HV: 101.1%
  • Parkinson Intraday Volatility: 56.7%
  • Vol Trend: Expanded (+32% vs baseline)

14-Day Return Quantiles

  • Median Return: +1.0%
  • Top 10% Move (90th percentile): +25.2%
  • Bottom 10% Move (10th percentile): -12.6%
  • Max Historical Gain (14d): +70.6%
  • Max Historical Loss (14d): -33.3%