Finance

BX Move Probability $116.31 +6.69 (+6.1%)

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)
49.9%
Stock touched +5.0% ($122.13) at least once during 14 trading days.
Median first touch: Day 5 of 14
Expiration Close Probability
29.3%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.70x
You are 1.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±8.9%
$106.00 — $126.62

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 509 historical windows (2024-09-23 to 2026-10-22). The colored bar indicates the win zone for +5.0%.

-21.1% to -18.5%: 4 occurrences (0.8%) -19.8% -18.5% to -15.8%: 6 occurrences (1.2%) -15.8% to -13.2%: 24 occurrences (4.7%) -13.2% to -10.6%: 31 occurrences (6.1%) -11.9% -10.6% to -8.0%: 46 occurrences (9.0%) -8.0% to -5.3%: 54 occurrences (10.6%) -5.3% to -2.7%: 44 occurrences (8.6%) -4.0% -2.7% to -0.1%: 48 occurrences (9.4%) -0.1% to +2.6%: 60 occurrences (11.8%) +2.6% to +5.2%: 45 occurrences (8.8%) 3.9% +5.2% to +7.8%: 52 occurrences (10.2%) +7.8% to +10.5%: 37 occurrences (7.3%) +10.5% to +13.1%: 28 occurrences (5.5%) 11.8% +13.1% to +15.7%: 12 occurrences (2.4%) +15.7% to +18.4%: 11 occurrences (2.2%) +18.4% to +21.0%: 7 occurrences (1.4%) 19.7%
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) 49.9% 29.3% Model-free reality across 509 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 23.2% Adjusts normal bell curve for real-world skewness (0.02) and kurtosis (2.88).
Standard Normal (Black-Scholes / GBM) 58.2% 29.1% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 42.6% 23.2% Filters for historical windows that started with volatility similar to current 20-day HV (413 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 37.6%
  • Recent 20-Day HV: 38.4%
  • Parkinson Intraday Volatility: 30.7%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: -0.4%
  • Top 10% Move (90th percentile): +11.3%
  • Bottom 10% Move (10th percentile): -11.7%
  • Max Historical Gain (14d): +21.0%
  • Max Historical Loss (14d): -21.1%