Finance

BN Move Probability $37.51 +0.18 (+0.5%)

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)
44.5%
Stock touched +5.0% ($39.39) at least once during 14 trading days.
Median first touch: Day 6 of 14
Expiration Close Probability
22.4%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.98x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±7.2%
$34.82 — $40.20

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%.

-17.9% to -15.5%: 6 occurrences (1.2%) -16.7% -15.5% to -13.1%: 4 occurrences (0.8%) -13.1% to -10.7%: 20 occurrences (3.9%) -10.7% to -8.3%: 19 occurrences (3.7%) -9.5% -8.3% to -5.9%: 25 occurrences (4.9%) -5.9% to -3.5%: 52 occurrences (10.2%) -3.5% to -1.1%: 73 occurrences (14.4%) -2.3% -1.1% to +1.3%: 88 occurrences (17.3%) +1.3% to +3.7%: 78 occurrences (15.4%) +3.7% to +6.1%: 55 occurrences (10.8%) 4.9% +6.1% to +8.5%: 48 occurrences (9.4%) +8.5% to +10.9%: 14 occurrences (2.8%) +10.9% to +13.3%: 9 occurrences (1.8%) 12.1% +13.3% to +15.7%: 6 occurrences (1.2%) +15.7% to +18.1%: 8 occurrences (1.6%) +18.1% to +20.5%: 3 occurrences (0.6%) 19.3%
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) 44.5% 22.4% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 16.2% Adjusts normal bell curve for real-world skewness (-0.15) and kurtosis (4.48).
Standard Normal (Black-Scholes / GBM) 49.7% 24.8% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 46.1% 25.4% Filters for historical windows that started with volatility similar to current 20-day HV (193 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 30.5%
  • Recent 20-Day HV: 19.0%
  • Parkinson Intraday Volatility: 24.9%
  • Vol Trend: Compressed (-38% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.4%
  • Top 10% Move (90th percentile): +7.9%
  • Bottom 10% Move (10th percentile): -8.0%
  • Max Historical Gain (14d): +20.5%
  • Max Historical Loss (14d): -17.9%