Finance

BP Move Probability $49.86 +0.46 (+0.9%)

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)
50.2%
Stock touched +5.0% ($52.35) at least once during 14 trading days.
Median first touch: Day 6 of 14
Expiration Close Probability
29.3%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.71x
You are 1.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±6.9%
$46.40 — $53.32

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%.

-24.6% to -21.8%: 3 occurrences (0.6%) -23.2% -21.8% to -19.0%: 5 occurrences (1.0%) -19.0% to -16.3%: 2 occurrences (0.4%) -16.3% to -13.5%: 7 occurrences (1.4%) -14.9% -13.5% to -10.7%: 4 occurrences (0.8%) -10.7% to -7.9%: 7 occurrences (1.4%) -7.9% to -5.1%: 30 occurrences (5.9%) -6.5% -5.1% to -2.4%: 60 occurrences (11.8%) -2.4% to +0.4%: 86 occurrences (16.9%) +0.4% to +3.2%: 100 occurrences (19.7%) 1.8% +3.2% to +6.0%: 81 occurrences (15.9%) +6.0% to +8.8%: 51 occurrences (10.0%) +8.8% to +11.5%: 44 occurrences (8.7%) 10.2% +11.5% to +14.3%: 17 occurrences (3.3%) +14.3% to +17.1%: 5 occurrences (1.0%) +17.1% to +19.9%: 6 occurrences (1.2%) 18.5%
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) 50.2% 29.3% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 20.9% Adjusts normal bell curve for real-world skewness (-0.66) and kurtosis (2.67).
Standard Normal (Black-Scholes / GBM) 48.3% 24.1% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 47.1% 28.3% Filters for historical windows that started with volatility similar to current 20-day HV (414 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 29.5%
  • Recent 20-Day HV: 26.3%
  • Parkinson Intraday Volatility: 19.7%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: +1.8%
  • Top 10% Move (90th percentile): +9.7%
  • Bottom 10% Move (10th percentile): -6.1%
  • Max Historical Gain (14d): +19.9%
  • Max Historical Loss (14d): -24.6%