Finance

BX Move Probability $116.83 +7.20 (+6.6%)

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)
3.4%
Stock touched +5.0% ($122.67) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
1.7%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
2.00x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±2.4%
$114.06 — $119.59

Historical 1-Day Return Distribution

Frequency of rolling 1-day percentage returns over 522 historical windows (2024-09-23 to 2026-10-22). The colored bar indicates the win zone for +5.0%.

-9.9% to -8.4%: 1 occurrences (0.2%) -9.1% -8.4% to -6.8%: 2 occurrences (0.4%) -6.8% to -5.3%: 9 occurrences (1.7%) -5.3% to -3.8%: 17 occurrences (3.3%) -4.6% -3.8% to -2.3%: 37 occurrences (7.1%) -2.3% to -0.8%: 116 occurrences (22.2%) -0.8% to +0.7%: 158 occurrences (30.3%) -0.0% +0.7% to +2.2%: 107 occurrences (20.5%) +2.2% to +3.8%: 52 occurrences (10.0%) +3.8% to +5.3%: 14 occurrences (2.7%) 4.5% +5.3% to +6.8%: 6 occurrences (1.1%) +6.8% to +8.3%: 2 occurrences (0.4%) +8.3% to +9.8%: 0 occurrences (0.0%) 9.1% +9.8% to +11.3%: 0 occurrences (0.0%) +11.3% to +12.9%: 0 occurrences (0.0%) +12.9% to +14.4%: 1 occurrences (0.2%) 13.6%
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) 3.4% 1.7% Model-free reality across 522 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 4.1% Adjusts normal bell curve for real-world skewness (0.02) and kurtosis (2.88).
Standard Normal (Black-Scholes / GBM) 3.9% 2.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 2.6% 1.4% Filters for historical windows that started with volatility similar to current 20-day HV (426 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

1-Day Return Quantiles

  • Median Return: -0.1%
  • Top 10% Move (90th percentile): +2.7%
  • Bottom 10% Move (10th percentile): -2.8%
  • Max Historical Gain (1d): +14.4%
  • Max Historical Loss (1d): -9.9%