Finance

BTMD Move Probability $1.04 -0.02 (-1.9%)

Real historical back-data analysis: evaluates rolling trading-day windows to determine the probability of a stock touching or closing at your target move.

← Back to BTMD Options chain →
Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
59.8%
Stock touched +5.0% ($1.09) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
24.6%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.43x
You are 2.4x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±18.0%
$0.85 — $1.23

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%.

-41.3% to -34.1%: 13 occurrences (2.6%) -37.7% -34.1% to -27.0%: 21 occurrences (4.1%) -27.0% to -19.8%: 18 occurrences (3.5%) -19.8% to -12.7%: 72 occurrences (14.2%) -16.3% -12.7% to -5.6%: 106 occurrences (20.9%) -5.6% to +1.6%: 114 occurrences (22.4%) +1.6% to +8.7%: 67 occurrences (13.2%) 5.1% +8.7% to +15.9%: 45 occurrences (8.9%) +15.9% to +23.0%: 33 occurrences (6.5%) +23.0% to +30.1%: 3 occurrences (0.6%) 26.6% +30.1% to +37.3%: 3 occurrences (0.6%) +37.3% to +44.4%: 4 occurrences (0.8%) +44.4% to +51.6%: 2 occurrences (0.4%) 48.0% +51.6% to +58.7%: 4 occurrences (0.8%) +58.7% to +65.8%: 1 occurrences (0.2%) +65.8% to +73.0%: 2 occurrences (0.4%) 69.4%
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) 59.8% 24.6% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 36.4% Adjusts normal bell curve for real-world skewness (-1.05) and kurtosis (8.47).
Standard Normal (Black-Scholes / GBM) 78.6% 39.3% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 54.8% 22.5% Filters for historical windows that started with volatility similar to current 20-day HV (325 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 76.4%
  • Recent 20-Day HV: 68.4%
  • Parkinson Intraday Volatility: 53.9%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: -4.2%
  • Top 10% Move (90th percentile): +16.0%
  • Bottom 10% Move (10th percentile): -20.0%
  • Max Historical Gain (14d): +73.0%
  • Max Historical Loss (14d): -41.3%