Finance

BOOT Move Probability $115.90 +0.34 (+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)
61.2%
Stock touched +5.0% ($121.70) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
30.3%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.02x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±11.9%
$102.09 — $129.71

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%.

-25.2% to -20.1%: 24 occurrences (4.7%) -22.6% -20.1% to -15.0%: 33 occurrences (6.5%) -15.0% to -9.9%: 57 occurrences (11.2%) -9.9% to -4.8%: 62 occurrences (12.2%) -7.4% -4.8% to +0.3%: 90 occurrences (17.7%) +0.3% to +5.4%: 91 occurrences (17.9%) +5.4% to +10.5%: 64 occurrences (12.6%) 7.9% +10.5% to +15.5%: 49 occurrences (9.6%) +15.5% to +20.6%: 18 occurrences (3.5%) +20.6% to +25.7%: 4 occurrences (0.8%) 23.2% +25.7% to +30.8%: 2 occurrences (0.4%) +30.8% to +35.9%: 2 occurrences (0.4%) +35.9% to +41.0%: 4 occurrences (0.8%) 38.5% +41.0% to +46.1%: 2 occurrences (0.4%) +46.1% to +51.2%: 4 occurrences (0.8%) +51.2% to +56.3%: 2 occurrences (0.4%) 53.7%
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) 61.2% 30.3% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 25.4% Adjusts normal bell curve for real-world skewness (-0.44) and kurtosis (6.71).
Standard Normal (Black-Scholes / GBM) 68.2% 34.1% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 62.4% 31.3% Filters for historical windows that started with volatility similar to current 20-day HV (319 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 50.6%
  • Recent 20-Day HV: 38.3%
  • Parkinson Intraday Volatility: 38.5%
  • Vol Trend: Compressed (-24% vs baseline)

14-Day Return Quantiles

  • Median Return: -0.2%
  • Top 10% Move (90th percentile): +13.5%
  • Bottom 10% Move (10th percentile): -15.6%
  • Max Historical Gain (14d): +56.3%
  • Max Historical Loss (14d): -25.2%