Finance

GAIN Move Probability $14.75 -0.10 (-0.7%)

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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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
19.1%
Stock touched +5.0% ($15.49) at least once during 14 trading days.
Median first touch: Day 6 of 14
Expiration Close Probability
11.8%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.62x
You are 1.6x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±5.0%
$14.01 — $15.49

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%.

-12.6% to -10.7%: 2 occurrences (0.4%) -11.6% -10.7% to -8.7%: 0 occurrences (0.0%) -8.7% to -6.8%: 4 occurrences (0.8%) -6.8% to -4.8%: 21 occurrences (4.1%) -5.8% -4.8% to -2.9%: 46 occurrences (9.1%) -2.9% to -0.9%: 83 occurrences (16.3%) -0.9% to +1.1%: 141 occurrences (27.8%) 0.1% +1.1% to +3.0%: 113 occurrences (22.2%) +3.0% to +5.0%: 37 occurrences (7.3%) +5.0% to +6.9%: 21 occurrences (4.1%) 5.9% +6.9% to +8.9%: 12 occurrences (2.4%) +8.9% to +10.8%: 8 occurrences (1.6%) +10.8% to +12.8%: 12 occurrences (2.4%) 11.8% +12.8% to +14.7%: 5 occurrences (1.0%) +14.7% to +16.7%: 1 occurrences (0.2%) +16.7% to +18.6%: 2 occurrences (0.4%) 17.7%
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) 19.1% 11.8% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 4.1% Adjusts normal bell curve for real-world skewness (0.33) and kurtosis (9.19).
Standard Normal (Black-Scholes / GBM) 32.8% 16.4% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 7.9% 2.5% Filters for historical windows that started with volatility similar to current 20-day HV (203 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 21.2%
  • Recent 20-Day HV: 13.3%
  • Parkinson Intraday Volatility: 16.7%
  • Vol Trend: Compressed (-37% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.6%
  • Top 10% Move (90th percentile): +5.4%
  • Bottom 10% Move (10th percentile): -3.5%
  • Max Historical Gain (14d): +18.6%
  • Max Historical Loss (14d): -12.6%