Finance

BW Move Probability $4.62 +0.04 (+0.9%)

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

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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
79.3%
Stock touched +5.0% ($4.85) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
44.7%
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%)
±32.0%
$3.14 — $6.10

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%.

-50.7% to -36.0%: 10 occurrences (2.0%) -43.4% -36.0% to -21.3%: 67 occurrences (13.2%) -21.3% to -6.7%: 132 occurrences (26.0%) -6.7% to +8.0%: 87 occurrences (17.1%) 0.7% +8.0% to +22.7%: 52 occurrences (10.2%) +22.7% to +37.4%: 43 occurrences (8.5%) +37.4% to +52.1%: 37 occurrences (7.3%) 44.7% +52.1% to +66.7%: 38 occurrences (7.5%) +66.7% to +81.4%: 20 occurrences (3.9%) +81.4% to +96.1%: 10 occurrences (2.0%) 88.7% +96.1% to +110.8%: 7 occurrences (1.4%) +110.8% to +125.4%: 3 occurrences (0.6%) +125.4% to +140.1%: 1 occurrences (0.2%) 132.8% +140.1% to +154.8%: 0 occurrences (0.0%) +154.8% to +169.5%: 0 occurrences (0.0%) +169.5% to +184.2%: 1 occurrences (0.2%) 176.8%
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) 79.3% 44.7% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 22.7% Adjusts normal bell curve for real-world skewness (2.35) and kurtosis (17.38).
Standard Normal (Black-Scholes / GBM) 87.9% 43.9% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 60.6% 17.0% Filters for historical windows that started with volatility similar to current 20-day HV (94 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 135.7%
  • Recent 20-Day HV: 59.8%
  • Parkinson Intraday Volatility: 98.6%
  • Vol Trend: Compressed (-56% vs baseline)

14-Day Return Quantiles

  • Median Return: -0.4%
  • Top 10% Move (90th percentile): +63.1%
  • Bottom 10% Move (10th percentile): -24.9%
  • Max Historical Gain (14d): +184.2%
  • Max Historical Loss (14d): -50.7%