Finance

BTC Move Probability $37.37 +0.89 (+2.4%)

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)
59.4%
Stock touched +5.0% ($39.23) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
33.5%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.78x
You are 1.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±10.6%
$33.41 — $41.32

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 508 historical windows (2024-09-23 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-33.1% to -28.1%: 1 occurrences (0.2%) -30.6% -28.1% to -23.1%: 8 occurrences (1.6%) -23.1% to -18.0%: 13 occurrences (2.6%) -18.0% to -13.0%: 18 occurrences (3.5%) -15.5% -13.0% to -8.0%: 36 occurrences (7.1%) -8.0% to -3.0%: 94 occurrences (18.5%) -3.0% to +2.1%: 114 occurrences (22.4%) -0.4% +2.1% to +7.1%: 91 occurrences (17.9%) +7.1% to +12.1%: 70 occurrences (13.8%) +12.1% to +17.2%: 28 occurrences (5.5%) 14.7% +17.2% to +22.2%: 16 occurrences (3.1%) +22.2% to +27.2%: 8 occurrences (1.6%) +27.2% to +32.3%: 6 occurrences (1.2%) 29.8% +32.3% to +37.3%: 3 occurrences (0.6%) +37.3% to +42.3%: 1 occurrences (0.2%) +42.3% to +47.4%: 1 occurrences (0.2%) 44.9%
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) 59.4% 33.5% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 28.5% Adjusts normal bell curve for real-world skewness (0.03) and kurtosis (1.91).
Standard Normal (Black-Scholes / GBM) 64.5% 32.2% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 76.9% 69.2% Filters for historical windows that started with volatility similar to current 20-day HV (13 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 44.9%
  • Recent 20-Day HV: 19.8%
  • Parkinson Intraday Volatility: 27.5%
  • Vol Trend: Compressed (-56% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.6%
  • Top 10% Move (90th percentile): +13.9%
  • Bottom 10% Move (10th percentile): -11.4%
  • Max Historical Gain (14d): +47.4%
  • Max Historical Loss (14d): -33.1%