Finance

BPRN Move Probability $43.51 -0.08 (-0.2%)

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)
28.1%
Stock touched +5.0% ($45.69) at least once during 14 trading days.
Median first touch: Day 8 of 14
Expiration Close Probability
22.4%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.25x
You are 1.2x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±5.5%
$41.13 — $45.89

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%.

-12.9% to -11.2%: 2 occurrences (0.4%) -12.1% -11.2% to -9.5%: 4 occurrences (0.8%) -9.5% to -7.7%: 18 occurrences (3.5%) -7.7% to -6.0%: 14 occurrences (2.8%) -6.9% -6.0% to -4.3%: 32 occurrences (6.3%) -4.3% to -2.5%: 71 occurrences (14.0%) -2.5% to -0.8%: 59 occurrences (11.6%) -1.7% -0.8% to +0.9%: 67 occurrences (13.2%) +0.9% to +2.7%: 72 occurrences (14.2%) +2.7% to +4.4%: 48 occurrences (9.4%) 3.5% +4.4% to +6.2%: 41 occurrences (8.1%) +6.2% to +7.9%: 36 occurrences (7.1%) +7.9% to +9.6%: 18 occurrences (3.5%) 8.8% +9.6% to +11.4%: 11 occurrences (2.2%) +11.4% to +13.1%: 13 occurrences (2.6%) +13.1% to +14.8%: 2 occurrences (0.4%) 14.0%
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) 28.1% 22.4% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 4.9% Adjusts normal bell curve for real-world skewness (0.52) and kurtosis (9.38).
Standard Normal (Black-Scholes / GBM) 37.2% 18.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 25.5% 20.0% Filters for historical windows that started with volatility similar to current 20-day HV (220 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 23.2%
  • Recent 20-Day HV: 15.7%
  • Parkinson Intraday Volatility: 4.9%
  • Vol Trend: Compressed (-32% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.6%
  • Top 10% Move (90th percentile): +7.8%
  • Bottom 10% Move (10th percentile): -5.1%
  • Max Historical Gain (14d): +14.8%
  • Max Historical Loss (14d): -12.9%