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.

← Back to BP Options chain →
Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
0.8%
Stock touched +5.0% ($52.35) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
0.4%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
2.00x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±1.9%
$48.93 — $50.79

Historical 1-Day Return Distribution

Frequency of rolling 1-day percentage returns over 521 historical windows (2024-09-23 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-9.5% to -8.5%: 1 occurrences (0.2%) -9.0% -8.5% to -7.5%: 0 occurrences (0.0%) -7.5% to -6.5%: 1 occurrences (0.2%) -6.5% to -5.4%: 3 occurrences (0.6%) -5.9% -5.4% to -4.4%: 2 occurrences (0.4%) -4.4% to -3.4%: 13 occurrences (2.5%) -3.4% to -2.4%: 21 occurrences (4.0%) -2.9% -2.4% to -1.4%: 46 occurrences (8.8%) -1.4% to -0.4%: 94 occurrences (18.0%) -0.4% to +0.6%: 135 occurrences (25.9%) 0.1% +0.6% to +1.7%: 121 occurrences (23.2%) +1.7% to +2.7%: 51 occurrences (9.8%) +2.7% to +3.7%: 21 occurrences (4.0%) 3.2% +3.7% to +4.7%: 9 occurrences (1.7%) +4.7% to +5.7%: 1 occurrences (0.2%) +5.7% to +6.7%: 2 occurrences (0.4%) 6.2%
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) 0.8% 0.4% Model-free reality across 521 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 0.8% Adjusts normal bell curve for real-world skewness (-0.66) and kurtosis (2.67).
Standard Normal (Black-Scholes / GBM) 0.9% 0.4% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 0.5% 0.0% Filters for historical windows that started with volatility similar to current 20-day HV (427 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

1-Day Return Quantiles

  • Median Return: +0.3%
  • Top 10% Move (90th percentile): +2.2%
  • Bottom 10% Move (10th percentile): -2.1%
  • Max Historical Gain (1d): +6.7%
  • Max Historical Loss (1d): -9.5%