Finance

GAIA Move Probability $1.43 +0.03 (+2.1%)

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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Touch Probability (First Passage)
55.3%
Stock touched +5.0% ($1.50) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
27.0%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.05x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±16.2%
$1.20 — $1.66

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%.

-36.0% to -30.1%: 4 occurrences (0.8%) -33.0% -30.1% to -24.1%: 12 occurrences (2.4%) -24.1% to -18.2%: 53 occurrences (10.4%) -18.2% to -12.3%: 76 occurrences (15.0%) -15.2% -12.3% to -6.3%: 82 occurrences (16.1%) -6.3% to -0.4%: 77 occurrences (15.2%) -0.4% to +5.5%: 75 occurrences (14.8%) 2.6% +5.5% to +11.5%: 48 occurrences (9.4%) +11.5% to +17.4%: 32 occurrences (6.3%) +17.4% to +23.4%: 12 occurrences (2.4%) 20.4% +23.4% to +29.3%: 12 occurrences (2.4%) +29.3% to +35.2%: 13 occurrences (2.6%) +35.2% to +41.2%: 6 occurrences (1.2%) 38.2% +41.2% to +47.1%: 1 occurrences (0.2%) +47.1% to +53.0%: 3 occurrences (0.6%) +53.0% to +59.0%: 2 occurrences (0.4%) 56.0%
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) 55.3% 27.0% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 26.3% Adjusts normal bell curve for real-world skewness (-1.93) and kurtosis (21.27).
Standard Normal (Black-Scholes / GBM) 76.3% 38.2% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 51.3% 24.1% Filters for historical windows that started with volatility similar to current 20-day HV (357 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 68.8%
  • Recent 20-Day HV: 68.3%
  • Parkinson Intraday Volatility: 37.0%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: -4.4%
  • Top 10% Move (90th percentile): +16.9%
  • Bottom 10% Move (10th percentile): -19.5%
  • Max Historical Gain (14d): +59.0%
  • Max Historical Loss (14d): -36.0%