Finance

BSP Move Probability $53.59 +15.63 (+41.2%)

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)
76.7%
Stock touched +5.0% ($56.27) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
36.7%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.09x
You are 2.1x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±25.7%
$39.81 — $67.37

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 60 historical windows (2026-07-01 to 2026-10-14). The colored bar indicates the win zone for +5.0%.

-22.8% to -17.4%: 4 occurrences (6.7%) -20.1% -17.4% to -12.0%: 12 occurrences (20.0%) -12.0% to -6.6%: 6 occurrences (10.0%) -6.6% to -1.2%: 8 occurrences (13.3%) -3.9% -1.2% to +4.1%: 8 occurrences (13.3%) +4.1% to +9.5%: 4 occurrences (6.7%) +9.5% to +14.9%: 6 occurrences (10.0%) 12.2% +14.9% to +20.3%: 5 occurrences (8.3%) +20.3% to +25.6%: 0 occurrences (0.0%) +25.6% to +31.0%: 0 occurrences (0.0%) 28.3% +31.0% to +36.4%: 2 occurrences (3.3%) +36.4% to +41.8%: 1 occurrences (1.7%) +41.8% to +47.2%: 1 occurrences (1.7%) 44.5% +47.2% to +52.5%: 1 occurrences (1.7%) +52.5% to +57.9%: 1 occurrences (1.7%) +57.9% to +63.3%: 1 occurrences (1.7%) 60.6%
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) 76.7% 36.7% Model-free reality across 60 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 27.7% Adjusts normal bell curve for real-world skewness (1.92) and kurtosis (8.14).
Standard Normal (Black-Scholes / GBM) 85.0% 42.5% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 64.7% 5.9% Filters for historical windows that started with volatility similar to current 20-day HV (17 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 109.1%
  • Recent 20-Day HV: 156.0%
  • Parkinson Intraday Volatility: 91.0%
  • Vol Trend: Expanded (+43% vs baseline)

14-Day Return Quantiles

  • Median Return: -0.6%
  • Top 10% Move (90th percentile): +33.3%
  • Bottom 10% Move (10th percentile): -16.3%
  • Max Historical Gain (14d): +63.3%
  • Max Historical Loss (14d): -22.8%