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)
43.1%
Stock touched +5.0% ($56.27) at least once during 2 trading days.
Median first touch: Day 1 of 2
Expiration Close Probability
18.1%
Stock closed at or beyond +5.0% at the end of the 2-day window.
The Touch Multiple
2.38x
You are 2.4x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±9.7%
$48.38 — $58.80

Historical 2-Day Return Distribution

Frequency of rolling 2-day percentage returns over 72 historical windows (2026-07-01 to 2026-10-14). The colored bar indicates the win zone for +5.0%.

-23.7% to -19.5%: 2 occurrences (2.8%) -21.6% -19.5% to -15.2%: 0 occurrences (0.0%) -15.2% to -10.9%: 0 occurrences (0.0%) -10.9% to -6.6%: 8 occurrences (11.1%) -8.8% -6.6% to -2.4%: 16 occurrences (22.2%) -2.4% to +1.9%: 19 occurrences (26.4%) +1.9% to +6.2%: 16 occurrences (22.2%) 4.1% +6.2% to +10.5%: 4 occurrences (5.6%) +10.5% to +14.7%: 1 occurrences (1.4%) +14.7% to +19.0%: 1 occurrences (1.4%) 16.9% +19.0% to +23.3%: 3 occurrences (4.2%) +23.3% to +27.6%: 0 occurrences (0.0%) +27.6% to +31.9%: 1 occurrences (1.4%) 29.7% +31.9% to +36.1%: 0 occurrences (0.0%) +36.1% to +40.4%: 0 occurrences (0.0%) +40.4% to +44.7%: 1 occurrences (1.4%) 42.5%
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) 43.1% 18.1% Model-free reality across 72 historical 2-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 16.4% Adjusts normal bell curve for real-world skewness (1.92) and kurtosis (8.14).
Standard Normal (Black-Scholes / GBM) 61.6% 30.8% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 29.4% 11.8% 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)

2-Day Return Quantiles

  • Median Return: -0.3%
  • Top 10% Move (90th percentile): +8.8%
  • Bottom 10% Move (10th percentile): -7.5%
  • Max Historical Gain (2d): +44.7%
  • Max Historical Loss (2d): -23.7%