Finance

BOC Move Probability $12.56 -0.04 (-0.3%)

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)
34.4%
Stock touched +5.0% ($13.19) at least once during 14 trading days.
Median first touch: Day 6 of 14
Expiration Close Probability
15.2%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.27x
You are 2.3x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±7.0%
$11.69 — $13.43

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%.

-14.2% to -11.8%: 1 occurrences (0.2%) -13.0% -11.8% to -9.4%: 7 occurrences (1.4%) -9.4% to -7.0%: 38 occurrences (7.5%) -7.0% to -4.6%: 59 occurrences (11.6%) -5.8% -4.6% to -2.2%: 91 occurrences (17.9%) -2.2% to +0.1%: 90 occurrences (17.7%) +0.1% to +2.5%: 86 occurrences (16.9%) 1.3% +2.5% to +4.9%: 59 occurrences (11.6%) +4.9% to +7.3%: 34 occurrences (6.7%) +7.3% to +9.7%: 26 occurrences (5.1%) 8.5% +9.7% to +12.1%: 6 occurrences (1.2%) +12.1% to +14.5%: 4 occurrences (0.8%) +14.5% to +16.9%: 1 occurrences (0.2%) 15.7% +16.9% to +19.3%: 3 occurrences (0.6%) +19.3% to +21.7%: 2 occurrences (0.4%) +21.7% to +24.1%: 1 occurrences (0.2%) 22.9%
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) 34.4% 15.2% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 11.4% Adjusts normal bell curve for real-world skewness (0.45) and kurtosis (6.57).
Standard Normal (Black-Scholes / GBM) 48.3% 24.2% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 41.8% 12.7% Filters for historical windows that started with volatility similar to current 20-day HV (110 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 29.5%
  • Recent 20-Day HV: 15.9%
  • Parkinson Intraday Volatility: 18.5%
  • Vol Trend: Compressed (-46% vs baseline)

14-Day Return Quantiles

  • Median Return: -0.7%
  • Top 10% Move (90th percentile): +6.6%
  • Bottom 10% Move (10th percentile): -6.7%
  • Max Historical Gain (14d): +24.1%
  • Max Historical Loss (14d): -14.2%