Finance

BRNS Move Probability $0.76 +0.04 (+6.0%)

Real historical back-data analysis: evaluates rolling trading-day windows to determine the probability of a stock touching or closing at your target move.

← Back to BRNS Options chain →
Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
59.5%
Stock touched +5.0% ($0.80) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
34.0%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.75x
You are 1.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±22.5%
$0.59 — $0.93

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 477 historical windows (2024-09-23 to 2026-09-08). The colored bar indicates the win zone for +5.0%.

-45.6% to -36.0%: 20 occurrences (4.2%) -40.8% -36.0% to -26.3%: 25 occurrences (5.2%) -26.3% to -16.6%: 26 occurrences (5.5%) -16.6% to -6.9%: 86 occurrences (18.0%) -11.8% -6.9% to +2.7%: 135 occurrences (28.3%) +2.7% to +12.4%: 93 occurrences (19.5%) +12.4% to +22.1%: 40 occurrences (8.4%) 17.3% +22.1% to +31.8%: 23 occurrences (4.8%) +31.8% to +41.4%: 11 occurrences (2.3%) +41.4% to +51.1%: 5 occurrences (1.0%) 46.3% +51.1% to +60.8%: 5 occurrences (1.0%) +60.8% to +70.5%: 3 occurrences (0.6%) +70.5% to +80.1%: 0 occurrences (0.0%) 75.3% +80.1% to +89.8%: 0 occurrences (0.0%) +89.8% to +99.5%: 3 occurrences (0.6%) +99.5% to +109.2%: 2 occurrences (0.4%) 104.3%
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) 59.5% 34.0% Model-free reality across 477 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 35.5% Adjusts normal bell curve for real-world skewness (-0.22) and kurtosis (7.22).
Standard Normal (Black-Scholes / GBM) 82.8% 41.4% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 51.4% 22.1% Filters for historical windows that started with volatility similar to current 20-day HV (140 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 95.5%
  • Recent 20-Day HV: 51.7%
  • Parkinson Intraday Volatility: 71.6%
  • Vol Trend: Compressed (-46% vs baseline)

14-Day Return Quantiles

  • Median Return: -1.0%
  • Top 10% Move (90th percentile): +23.5%
  • Bottom 10% Move (10th percentile): -25.2%
  • Max Historical Gain (14d): +109.2%
  • Max Historical Loss (14d): -45.6%