Finance

BROS Move Probability $42.28 -1.53 (-3.5%)

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)
63.4%
Stock touched +5.0% ($44.39) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
39.0%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.63x
You are 1.6x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±13.7%
$36.48 — $48.08

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%.

-31.5% to -25.9%: 2 occurrences (0.4%) -28.7% -25.9% to -20.2%: 23 occurrences (4.5%) -20.2% to -14.6%: 37 occurrences (7.3%) -14.6% to -8.9%: 43 occurrences (8.5%) -11.8% -8.9% to -3.3%: 84 occurrences (16.5%) -3.3% to +2.3%: 89 occurrences (17.5%) +2.3% to +8.0%: 75 occurrences (14.8%) 5.2% +8.0% to +13.6%: 82 occurrences (16.1%) +13.6% to +19.3%: 35 occurrences (6.9%) +19.3% to +24.9%: 14 occurrences (2.8%) 22.1% +24.9% to +30.6%: 8 occurrences (1.6%) +30.6% to +36.2%: 4 occurrences (0.8%) +36.2% to +41.9%: 5 occurrences (1.0%) 39.0% +41.9% to +47.5%: 1 occurrences (0.2%) +47.5% to +53.1%: 2 occurrences (0.4%) +53.1% to +58.8%: 4 occurrences (0.8%) 56.0%
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) 63.4% 39.0% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 17.4% Adjusts normal bell curve for real-world skewness (1.21) and kurtosis (11.18).
Standard Normal (Black-Scholes / GBM) 72.2% 36.1% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 59.1% 39.5% Filters for historical windows that started with volatility similar to current 20-day HV (281 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 58.2%
  • Recent 20-Day HV: 40.2%
  • Parkinson Intraday Volatility: 42.5%
  • Vol Trend: Compressed (-31% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.6%
  • Top 10% Move (90th percentile): +16.4%
  • Bottom 10% Move (10th percentile): -16.7%
  • Max Historical Gain (14d): +58.8%
  • Max Historical Loss (14d): -31.5%