Finance

BRTX Move Probability $1.53 -0.05 (-3.2%)

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)
60.0%
Stock touched +5.0% ($1.61) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
26.4%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.28x
You are 2.3x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±26.3%
$1.13 — $1.93

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%.

-81.6% to -68.4%: 12 occurrences (2.4%) -75.0% -68.4% to -55.2%: 2 occurrences (0.4%) -55.2% to -41.9%: 6 occurrences (1.2%) -41.9% to -28.7%: 38 occurrences (7.5%) -35.3% -28.7% to -15.5%: 56 occurrences (11.0%) -15.5% to -2.3%: 184 occurrences (36.2%) -2.3% to +10.9%: 131 occurrences (25.8%) 4.3% +10.9% to +24.2%: 37 occurrences (7.3%) +24.2% to +37.4%: 16 occurrences (3.1%) +37.4% to +50.6%: 7 occurrences (1.4%) 44.0% +50.6% to +63.8%: 6 occurrences (1.2%) +63.8% to +77.0%: 2 occurrences (0.4%) +77.0% to +90.2%: 1 occurrences (0.2%) 83.6% +90.2% to +103.5%: 4 occurrences (0.8%) +103.5% to +116.7%: 4 occurrences (0.8%) +116.7% to +129.9%: 2 occurrences (0.4%) 123.3%
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) 60.0% 26.4% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 31.9% Adjusts normal bell curve for real-world skewness (-0.95) and kurtosis (20.15).
Standard Normal (Black-Scholes / GBM) 85.3% 42.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 62.6% 34.6% Filters for historical windows that started with volatility similar to current 20-day HV (254 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 111.6%
  • Recent 20-Day HV: 88.7%
  • Parkinson Intraday Volatility: 67.0%
  • Vol Trend: Compressed (-21% vs baseline)

14-Day Return Quantiles

  • Median Return: -5.0%
  • Top 10% Move (90th percentile): +16.9%
  • Bottom 10% Move (10th percentile): -32.2%
  • Max Historical Gain (14d): +129.9%
  • Max Historical Loss (14d): -81.6%