Finance

BXSL Move Probability $23.92 +0.53 (+2.3%)

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)
23.6%
Stock touched +5.0% ($25.12) at least once during 14 trading days.
Median first touch: Day 8 of 14
Expiration Close Probability
12.4%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.90x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±5.0%
$22.72 — $25.12

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%.

-16.5% to -14.8%: 3 occurrences (0.6%) -15.6% -14.8% to -13.0%: 1 occurrences (0.2%) -13.0% to -11.3%: 5 occurrences (1.0%) -11.3% to -9.6%: 3 occurrences (0.6%) -10.5% -9.6% to -7.9%: 5 occurrences (1.0%) -7.9% to -6.2%: 23 occurrences (4.5%) -6.2% to -4.5%: 23 occurrences (4.5%) -5.4% -4.5% to -2.8%: 37 occurrences (7.3%) -2.8% to -1.1%: 77 occurrences (15.1%) -1.1% to +0.6%: 93 occurrences (18.3%) -0.3% +0.6% to +2.3%: 82 occurrences (16.1%) +2.3% to +4.0%: 65 occurrences (12.8%) +4.0% to +5.7%: 48 occurrences (9.4%) 4.8% +5.7% to +7.4%: 33 occurrences (6.5%) +7.4% to +9.1%: 9 occurrences (1.8%) +9.1% to +10.8%: 2 occurrences (0.4%) 10.0%
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) 23.6% 12.4% Model-free reality across 509 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 8.0% Adjusts normal bell curve for real-world skewness (-0.21) and kurtosis (5.22).
Standard Normal (Black-Scholes / GBM) 33.1% 16.5% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 16.8% 8.1% Filters for historical windows that started with volatility similar to current 20-day HV (369 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 21.3%
  • Recent 20-Day HV: 19.0%
  • Parkinson Intraday Volatility: 18.5%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: +0.3%
  • Top 10% Move (90th percentile): +5.5%
  • Bottom 10% Move (10th percentile): -5.4%
  • Max Historical Gain (14d): +10.8%
  • Max Historical Loss (14d): -16.5%