Finance

PBH Move Probability $47.91 -1.34 (-2.7%)

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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Touch Probability (First Passage)
37.8%
Stock touched +5.0% ($50.31) at least once during 14 trading days.
Median first touch: Day 7 of 14
Expiration Close Probability
18.1%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.09x
You are 2.1x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±7.2%
$44.48 — $51.35

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%.

-22.3% to -19.9%: 3 occurrences (0.6%) -21.1% -19.9% to -17.5%: 0 occurrences (0.0%) -17.5% to -15.2%: 4 occurrences (0.8%) -15.2% to -12.8%: 13 occurrences (2.6%) -14.0% -12.8% to -10.4%: 23 occurrences (4.5%) -10.4% to -8.1%: 28 occurrences (5.5%) -8.1% to -5.7%: 37 occurrences (7.3%) -6.9% -5.7% to -3.3%: 54 occurrences (10.6%) -3.3% to -0.9%: 86 occurrences (16.9%) -0.9% to +1.4%: 76 occurrences (15.0%) 0.2% +1.4% to +3.8%: 69 occurrences (13.6%) +3.8% to +6.2%: 42 occurrences (8.3%) +6.2% to +8.5%: 39 occurrences (7.7%) 7.4% +8.5% to +10.9%: 16 occurrences (3.1%) +10.9% to +13.3%: 12 occurrences (2.4%) +13.3% to +15.7%: 6 occurrences (1.2%) 14.5%
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) 37.8% 18.1% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 8.8% Adjusts normal bell curve for real-world skewness (-0.22) and kurtosis (9.66).
Standard Normal (Black-Scholes / GBM) 49.6% 24.8% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 32.7% 17.0% Filters for historical windows that started with volatility similar to current 20-day HV (324 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 30.4%
  • Recent 20-Day HV: 24.1%
  • Parkinson Intraday Volatility: 22.8%
  • Vol Trend: Compressed (-21% vs baseline)

14-Day Return Quantiles

  • Median Return: -0.8%
  • Top 10% Move (90th percentile): +7.5%
  • Bottom 10% Move (10th percentile): -9.5%
  • Max Historical Gain (14d): +15.7%
  • Max Historical Loss (14d): -22.3%