Finance

BRSL Move Probability $9.22 -0.14 (-1.5%)

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)
39.8%
Stock touched +5.0% ($9.68) at least once during 14 trading days.
Median first touch: Day 5 of 14
Expiration Close Probability
17.6%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.27x
You are 2.3x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±7.5%
$8.53 — $9.91

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 507 historical windows (2024-09-23 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-18.7% to -16.1%: 5 occurrences (1.0%) -17.4% -16.1% to -13.5%: 9 occurrences (1.8%) -13.5% to -11.0%: 16 occurrences (3.2%) -11.0% to -8.4%: 24 occurrences (4.7%) -9.7% -8.4% to -5.9%: 66 occurrences (13.0%) -5.9% to -3.3%: 74 occurrences (14.6%) -3.3% to -0.7%: 93 occurrences (18.3%) -2.0% -0.7% to +1.8%: 62 occurrences (12.2%) +1.8% to +4.4%: 55 occurrences (10.8%) +4.4% to +6.9%: 38 occurrences (7.5%) 5.6% +6.9% to +9.5%: 34 occurrences (6.7%) +9.5% to +12.0%: 14 occurrences (2.8%) +12.0% to +14.6%: 10 occurrences (2.0%) 13.3% +14.6% to +17.2%: 0 occurrences (0.0%) +17.2% to +19.7%: 5 occurrences (1.0%) +19.7% to +22.3%: 2 occurrences (0.4%) 21.0%
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) 39.8% 17.6% Model-free reality across 507 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 16.4% Adjusts normal bell curve for real-world skewness (0.05) and kurtosis (4.63).
Standard Normal (Black-Scholes / GBM) 51.5% 25.8% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 34.0% 14.8% Filters for historical windows that started with volatility similar to current 20-day HV (359 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 31.8%
  • Recent 20-Day HV: 29.6%
  • Parkinson Intraday Volatility: 26.3%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: -1.7%
  • Top 10% Move (90th percentile): +7.7%
  • Bottom 10% Move (10th percentile): -8.7%
  • Max Historical Gain (14d): +22.3%
  • Max Historical Loss (14d): -18.7%