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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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
13.4%
Stock touched +5.0% ($15.93) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
7.7%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
1.75x
You are 1.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±4.6%
$14.48 — $15.87

Historical 1-Day Return Distribution

Frequency of rolling 1-day percentage returns over 417 historical windows (2025-01-16 to 2026-09-16). The colored bar indicates the win zone for +5.0%.

-18.4% to -15.5%: 2 occurrences (0.5%) -16.9% -15.5% to -12.7%: 4 occurrences (1.0%) -12.7% to -9.9%: 6 occurrences (1.4%) -9.9% to -7.1%: 9 occurrences (2.2%) -8.5% -7.1% to -4.2%: 14 occurrences (3.4%) -4.2% to -1.4%: 31 occurrences (7.4%) -1.4% to +1.4%: 273 occurrences (65.5%) 0.0% +1.4% to +4.3%: 43 occurrences (10.3%) +4.3% to +7.1%: 17 occurrences (4.1%) +7.1% to +9.9%: 4 occurrences (1.0%) 8.5% +9.9% to +12.7%: 4 occurrences (1.0%) +12.7% to +15.6%: 4 occurrences (1.0%) +15.6% to +18.4%: 1 occurrences (0.2%) 17.0% +18.4% to +21.2%: 2 occurrences (0.5%) +21.2% to +24.0%: 1 occurrences (0.2%) +24.0% to +26.9%: 2 occurrences (0.5%) 25.5%
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) 13.4% 7.7% Model-free reality across 417 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 4.8% Adjusts normal bell curve for real-world skewness (0.41) and kurtosis (7.42).
Standard Normal (Black-Scholes / GBM) 28.4% 14.2% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 36.6% 23.2% Filters for historical windows that started with volatility similar to current 20-day HV (82 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)

1-Day Return Quantiles

  • Median Return: +0.0%
  • Top 10% Move (90th percentile): +3.7%
  • Bottom 10% Move (10th percentile): -3.5%
  • Max Historical Gain (1d): +26.9%
  • Max Historical Loss (1d): -18.4%