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)
11.3%
Stock touched +5.0% ($44.39) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
6.1%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
1.84x
You are 1.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±3.7%
$40.73 — $43.83

Historical 1-Day Return Distribution

Frequency of rolling 1-day percentage returns over 521 historical windows (2024-09-23 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-18.9% to -15.9%: 1 occurrences (0.2%) -17.4% -15.9% to -12.9%: 0 occurrences (0.0%) -12.9% to -9.9%: 0 occurrences (0.0%) -9.9% to -6.9%: 9 occurrences (1.7%) -8.4% -6.9% to -3.9%: 34 occurrences (6.5%) -3.9% to -0.9%: 159 occurrences (30.5%) -0.9% to +2.1%: 203 occurrences (39.0%) 0.6% +2.1% to +5.1%: 83 occurrences (15.9%) +5.1% to +8.1%: 25 occurrences (4.8%) +8.1% to +11.1%: 3 occurrences (0.6%) 9.6% +11.1% to +14.1%: 0 occurrences (0.0%) +14.1% to +17.1%: 1 occurrences (0.2%) +17.1% to +20.1%: 0 occurrences (0.0%) 18.6% +20.1% to +23.1%: 1 occurrences (0.2%) +23.1% to +26.1%: 0 occurrences (0.0%) +26.1% to +29.1%: 2 occurrences (0.4%) 27.6%
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) 11.3% 6.1% Model-free reality across 521 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 3.2% Adjusts normal bell curve for real-world skewness (1.21) and kurtosis (11.18).
Standard Normal (Black-Scholes / GBM) 18.3% 9.2% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 10.3% 5.8% Filters for historical windows that started with volatility similar to current 20-day HV (292 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)

1-Day Return Quantiles

  • Median Return: -0.3%
  • Top 10% Move (90th percentile): +4.0%
  • Bottom 10% Move (10th percentile): -3.6%
  • Max Historical Gain (1d): +29.1%
  • Max Historical Loss (1d): -18.9%