Finance

BR Move Probability $178.29 -1.64 (-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)
29.3%
Stock touched +5.0% ($187.20) at least once during 14 trading days.
Median first touch: Day 6 of 14
Expiration Close Probability
17.3%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.69x
You are 1.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±6.0%
$167.50 — $189.08

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%.

-20.0% to -17.5%: 3 occurrences (0.6%) -18.8% -17.5% to -15.0%: 6 occurrences (1.2%) -15.0% to -12.6%: 6 occurrences (1.2%) -12.6% to -10.1%: 14 occurrences (2.8%) -11.3% -10.1% to -7.6%: 23 occurrences (4.5%) -7.6% to -5.1%: 41 occurrences (8.1%) -5.1% to -2.6%: 86 occurrences (16.9%) -3.9% -2.6% to -0.2%: 84 occurrences (16.5%) -0.2% to +2.3%: 92 occurrences (18.1%) +2.3% to +4.8%: 61 occurrences (12.0%) 3.6% +4.8% to +7.3%: 45 occurrences (8.9%) +7.3% to +9.8%: 18 occurrences (3.5%) +9.8% to +12.3%: 16 occurrences (3.1%) 11.0% +12.3% to +14.7%: 7 occurrences (1.4%) +14.7% to +17.2%: 3 occurrences (0.6%) +17.2% to +19.7%: 3 occurrences (0.6%) 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) 29.3% 17.3% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 15.1% Adjusts normal bell curve for real-world skewness (-0.17) and kurtosis (3.01).
Standard Normal (Black-Scholes / GBM) 42.0% 21.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 31.4% 17.2% Filters for historical windows that started with volatility similar to current 20-day HV (261 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 25.7%
  • Recent 20-Day HV: 22.9%
  • Parkinson Intraday Volatility: 20.0%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: -0.4%
  • Top 10% Move (90th percentile): +7.0%
  • Bottom 10% Move (10th percentile): -7.7%
  • Max Historical Gain (14d): +19.7%
  • Max Historical Loss (14d): -20.0%