Finance

BOBS Move Probability $15.06 -0.15 (-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)
73.3%
Stock touched +5.0% ($15.82) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
38.8%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.89x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±17.3%
$12.46 — $17.67

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 165 historical windows (2026-02-05 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-43.0% to -37.9%: 5 occurrences (3.0%) -40.4% -37.9% to -32.8%: 3 occurrences (1.8%) -32.8% to -27.7%: 7 occurrences (4.2%) -27.7% to -22.6%: 3 occurrences (1.8%) -25.2% -22.6% to -17.6%: 4 occurrences (2.4%) -17.6% to -12.5%: 16 occurrences (9.7%) -12.5% to -7.4%: 13 occurrences (7.9%) -10.0% -7.4% to -2.3%: 18 occurrences (10.9%) -2.3% to +2.7%: 26 occurrences (15.8%) +2.7% to +7.8%: 17 occurrences (10.3%) 5.3% +7.8% to +12.9%: 21 occurrences (12.7%) +12.9% to +18.0%: 12 occurrences (7.3%) +18.0% to +23.0%: 10 occurrences (6.1%) 20.5% +23.0% to +28.1%: 5 occurrences (3.0%) +28.1% to +33.2%: 3 occurrences (1.8%) +33.2% to +38.3%: 2 occurrences (1.2%) 35.7%
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) 73.3% 38.8% Model-free reality across 165 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 29.8% Adjusts normal bell curve for real-world skewness (0.8) and kurtosis (4.35).
Standard Normal (Black-Scholes / GBM) 77.7% 38.9% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 45.2% 6.5% Filters for historical windows that started with volatility similar to current 20-day HV (31 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 73.2%
  • Recent 20-Day HV: 44.0%
  • Parkinson Intraday Volatility: 55.9%
  • Vol Trend: Compressed (-40% vs baseline)

14-Day Return Quantiles

  • Median Return: -0.3%
  • Top 10% Move (90th percentile): +18.6%
  • Bottom 10% Move (10th percentile): -27.3%
  • Max Historical Gain (14d): +38.3%
  • Max Historical Loss (14d): -43.0%