Finance

BRUN Move Probability $15.18 +1.62 (+11.9%)

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)
37.9%
Stock touched +5.0% ($15.93) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
24.0%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.58x
You are 1.6x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±17.1%
$12.59 — $17.76

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 404 historical windows (2025-01-16 to 2026-09-16). The colored bar indicates the win zone for +5.0%.

-48.1% to -39.0%: 2 occurrences (0.5%) -43.5% -39.0% to -29.8%: 8 occurrences (2.0%) -29.8% to -20.7%: 16 occurrences (4.0%) -20.7% to -11.5%: 14 occurrences (3.5%) -16.1% -11.5% to -2.3%: 64 occurrences (15.8%) -2.3% to +6.8%: 212 occurrences (52.5%) +6.8% to +16.0%: 33 occurrences (8.2%) 11.4% +16.0% to +25.1%: 14 occurrences (3.5%) +25.1% to +34.3%: 13 occurrences (3.2%) +34.3% to +43.5%: 9 occurrences (2.2%) 38.9% +43.5% to +52.6%: 7 occurrences (1.7%) +52.6% to +61.8%: 5 occurrences (1.2%) +61.8% to +70.9%: 1 occurrences (0.2%) 66.4% +70.9% to +80.1%: 3 occurrences (0.7%) +80.1% to +89.2%: 2 occurrences (0.5%) +89.2% to +98.4%: 1 occurrences (0.2%) 93.8%
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) 37.9% 24.0% Model-free reality across 404 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 27.4% Adjusts normal bell curve for real-world skewness (0.41) and kurtosis (7.42).
Standard Normal (Black-Scholes / GBM) 77.5% 38.7% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 78.3% 29.0% Filters for historical windows that started with volatility similar to current 20-day HV (69 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 72.4%
  • Recent 20-Day HV: 122.9%
  • Parkinson Intraday Volatility: 56.9%
  • Vol Trend: Expanded (+70% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.0%
  • Top 10% Move (90th percentile): +25.3%
  • Bottom 10% Move (10th percentile): -11.4%
  • Max Historical Gain (14d): +98.4%
  • Max Historical Loss (14d): -48.1%