Finance

BRLT Move Probability $1.52 +0.04 (+3.1%)

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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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
65.7%
Stock touched +5.0% ($1.60) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
30.5%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.15x
You are 2.1x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±17.5%
$1.25 — $1.79

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%.

-34.4% to -24.6%: 8 occurrences (1.6%) -29.5% -24.6% to -14.8%: 56 occurrences (11.0%) -14.8% to -5.0%: 126 occurrences (24.8%) -5.0% to +4.8%: 161 occurrences (31.7%) -0.1% +4.8% to +14.6%: 96 occurrences (18.9%) +14.6% to +24.4%: 33 occurrences (6.5%) +24.4% to +34.2%: 11 occurrences (2.2%) 29.3% +34.2% to +44.0%: 5 occurrences (1.0%) +44.0% to +53.8%: 3 occurrences (0.6%) +53.8% to +63.7%: 3 occurrences (0.6%) 58.7% +63.7% to +73.5%: 3 occurrences (0.6%) +73.5% to +83.3%: 1 occurrences (0.2%) +83.3% to +93.1%: 0 occurrences (0.0%) 88.2% +93.1% to +102.9%: 1 occurrences (0.2%) +102.9% to +112.7%: 0 occurrences (0.0%) +112.7% to +122.5%: 1 occurrences (0.2%) 117.6%
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) 65.7% 30.5% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 26.4% Adjusts normal bell curve for real-world skewness (1.06) and kurtosis (6.78).
Standard Normal (Black-Scholes / GBM) 78.0% 39.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 64.0% 25.0% Filters for historical windows that started with volatility similar to current 20-day HV (172 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 74.1%
  • Recent 20-Day HV: 40.3%
  • Parkinson Intraday Volatility: 46.0%
  • Vol Trend: Compressed (-46% vs baseline)

14-Day Return Quantiles

  • Median Return: -0.7%
  • Top 10% Move (90th percentile): +16.0%
  • Bottom 10% Move (10th percentile): -16.2%
  • Max Historical Gain (14d): +122.5%
  • Max Historical Loss (14d): -34.4%