Finance

BSFC Move Probability $0.16 -0.14 (-46.5%)

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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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
15.1%
Stock touched +5.0% ($0.17) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
4.7%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
3.21x
You are 3.2x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±22.2%
$0.13 — $0.20

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 298 historical windows (2024-09-23 to 2025-12-18). The colored bar indicates the win zone for +5.0%.

-54.0% to -47.2%: 10 occurrences (3.4%) -50.6% -47.2% to -40.4%: 10 occurrences (3.4%) -40.4% to -33.6%: 7 occurrences (2.3%) -33.6% to -26.8%: 5 occurrences (1.7%) -30.2% -26.8% to -20.0%: 9 occurrences (3.0%) -20.0% to -13.2%: 1 occurrences (0.3%) -13.2% to -6.5%: 1 occurrences (0.3%) -9.8% -6.5% to +0.3%: 240 occurrences (80.5%) +0.3% to +7.1%: 3 occurrences (1.0%) +7.1% to +13.9%: 2 occurrences (0.7%) 10.5% +13.9% to +20.7%: 3 occurrences (1.0%) +20.7% to +27.5%: 0 occurrences (0.0%) +27.5% to +34.3%: 3 occurrences (1.0%) 30.9% +34.3% to +41.1%: 0 occurrences (0.0%) +41.1% to +47.9%: 2 occurrences (0.7%) +47.9% to +54.7%: 2 occurrences (0.7%) 51.3%
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) 15.1% 4.7% Model-free reality across 298 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 18.4% Adjusts normal bell curve for real-world skewness (-2.85) and kurtosis (50.86).
Standard Normal (Black-Scholes / GBM) 82.6% 41.3% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 0.0% 0.0% Filters for historical windows that started with volatility similar to current 20-day HV (216 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 94.1%
  • Recent 20-Day HV: 0.0%
  • Parkinson Intraday Volatility: 73.9%
  • Vol Trend: Compressed (-100% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.0%
  • Top 10% Move (90th percentile): +0.0%
  • Bottom 10% Move (10th percentile): -28.5%
  • Max Historical Gain (14d): +54.7%
  • Max Historical Loss (14d): -54.0%