Finance

BRFH Move Probability $0.66 +0.07 (+12.8%)

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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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
35.6%
Stock touched +5.0% ($0.69) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
25.4%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.40x
You are 1.4x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±15.4%
$0.56 — $0.76

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%.

-35.0% to -29.9%: 9 occurrences (1.8%) -32.4% -29.9% to -24.7%: 15 occurrences (3.0%) -24.7% to -19.6%: 25 occurrences (4.9%) -19.6% to -14.5%: 32 occurrences (6.3%) -17.0% -14.5% to -9.3%: 74 occurrences (14.6%) -9.3% to -4.2%: 104 occurrences (20.5%) -4.2% to +0.9%: 88 occurrences (17.3%) -1.6% +0.9% to +6.1%: 50 occurrences (9.8%) +6.1% to +11.2%: 29 occurrences (5.7%) +11.2% to +16.3%: 41 occurrences (8.1%) 13.8% +16.3% to +21.4%: 18 occurrences (3.5%) +21.4% to +26.6%: 6 occurrences (1.2%) +26.6% to +31.7%: 3 occurrences (0.6%) 29.1% +31.7% to +36.8%: 4 occurrences (0.8%) +36.8% to +42.0%: 4 occurrences (0.8%) +42.0% to +47.1%: 6 occurrences (1.2%) 44.5%
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) 35.6% 25.4% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 19.9% Adjusts normal bell curve for real-world skewness (-0.27) and kurtosis (15.02).
Standard Normal (Black-Scholes / GBM) 75.2% 37.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 53.3% 42.4% Filters for historical windows that started with volatility similar to current 20-day HV (92 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 65.4%
  • Recent 20-Day HV: 136.4%
  • Parkinson Intraday Volatility: 23.6%
  • Vol Trend: Expanded (+109% vs baseline)

14-Day Return Quantiles

  • Median Return: -4.3%
  • Top 10% Move (90th percentile): +14.4%
  • Bottom 10% Move (10th percentile): -18.9%
  • Max Historical Gain (14d): +47.1%
  • Max Historical Loss (14d): -35.0%