Finance

BRT Move Probability $12.90 -0.40 (-3.0%)

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

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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
20.9%
Stock touched +5.0% ($13.55) at least once during 14 trading days.
Median first touch: Day 8 of 14
Expiration Close Probability
9.6%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.16x
You are 2.2x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±5.6%
$12.17 — $13.63

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%.

-16.9% to -14.4%: 2 occurrences (0.4%) -15.7% -14.4% to -12.0%: 5 occurrences (1.0%) -12.0% to -9.6%: 6 occurrences (1.2%) -9.6% to -7.2%: 14 occurrences (2.8%) -8.4% -7.2% to -4.7%: 43 occurrences (8.5%) -4.7% to -2.3%: 89 occurrences (17.5%) -2.3% to +0.1%: 110 occurrences (21.7%) -1.1% +0.1% to +2.5%: 123 occurrences (24.2%) +2.5% to +5.0%: 66 occurrences (13.0%) +5.0% to +7.4%: 35 occurrences (6.9%) 6.2% +7.4% to +9.8%: 6 occurrences (1.2%) +9.8% to +12.2%: 2 occurrences (0.4%) +12.2% to +14.6%: 1 occurrences (0.2%) 13.4% +14.6% to +17.1%: 0 occurrences (0.0%) +17.1% to +19.5%: 4 occurrences (0.8%) +19.5% to +21.9%: 2 occurrences (0.4%) 20.7%
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) 20.9% 9.6% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 12.9% Adjusts normal bell curve for real-world skewness (0.48) and kurtosis (3.29).
Standard Normal (Black-Scholes / GBM) 38.7% 19.4% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 19.9% 9.7% Filters for historical windows that started with volatility similar to current 20-day HV (372 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 23.9%
  • Recent 20-Day HV: 25.6%
  • Parkinson Intraday Volatility: 11.2%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: -0.2%
  • Top 10% Move (90th percentile): +4.8%
  • Bottom 10% Move (10th percentile): -5.6%
  • Max Historical Gain (14d): +21.9%
  • Max Historical Loss (14d): -16.9%