Finance

BRCB Move Probability $8.66 +0.01 (+0.1%)

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)
59.2%
Stock touched +5.0% ($9.09) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
27.9%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.12x
You are 2.1x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±18.2%
$7.08 — $10.24

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 265 historical windows (2025-09-12 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-48.2% to -42.7%: 6 occurrences (2.3%) -45.4% -42.7% to -37.3%: 3 occurrences (1.1%) -37.3% to -31.8%: 1 occurrences (0.4%) -31.8% to -26.4%: 10 occurrences (3.8%) -29.1% -26.4% to -20.9%: 24 occurrences (9.1%) -20.9% to -15.4%: 36 occurrences (13.6%) -15.4% to -10.0%: 22 occurrences (8.3%) -12.7% -10.0% to -4.5%: 29 occurrences (10.9%) -4.5% to +0.9%: 44 occurrences (16.6%) +0.9% to +6.4%: 19 occurrences (7.2%) 3.6% +6.4% to +11.8%: 28 occurrences (10.6%) +11.8% to +17.3%: 13 occurrences (4.9%) +17.3% to +22.7%: 14 occurrences (5.3%) 20.0% +22.7% to +28.2%: 7 occurrences (2.6%) +28.2% to +33.6%: 6 occurrences (2.3%) +33.6% to +39.1%: 3 occurrences (1.1%) 36.4%
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) 59.2% 27.9% Model-free reality across 265 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 34.3% Adjusts normal bell curve for real-world skewness (-1.04) and kurtosis (10.28).
Standard Normal (Black-Scholes / GBM) 78.9% 39.4% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 52.0% 22.9% Filters for historical windows that started with volatility similar to current 20-day HV (175 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 77.3%
  • Recent 20-Day HV: 59.3%
  • Parkinson Intraday Volatility: 60.0%
  • Vol Trend: Compressed (-23% vs baseline)

14-Day Return Quantiles

  • Median Return: -4.2%
  • Top 10% Move (90th percentile): +18.1%
  • Bottom 10% Move (10th percentile): -24.3%
  • Max Historical Gain (14d): +39.1%
  • Max Historical Loss (14d): -48.2%