Finance

GAMI Move Probability $25.09 +0.04 (+0.2%)

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)
35.3%
Stock touched +5.0% ($26.34) at least once during 14 trading days.
Median first touch: Day 7 of 14
Expiration Close Probability
15.8%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.23x
You are 2.2x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±6.4%
$23.47 — $26.71

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 487 historical windows (2024-10-22 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-16.7% to -14.5%: 2 occurrences (0.4%) -15.6% -14.5% to -12.3%: 5 occurrences (1.0%) -12.3% to -10.1%: 8 occurrences (1.6%) -10.1% to -7.9%: 16 occurrences (3.3%) -9.0% -7.9% to -5.6%: 22 occurrences (4.5%) -5.6% to -3.4%: 61 occurrences (12.5%) -3.4% to -1.2%: 44 occurrences (9.0%) -2.3% -1.2% to +1.0%: 115 occurrences (23.6%) +1.0% to +3.2%: 90 occurrences (18.5%) +3.2% to +5.4%: 60 occurrences (12.3%) 4.3% +5.4% to +7.6%: 28 occurrences (5.7%) +7.6% to +9.8%: 23 occurrences (4.7%) +9.8% to +12.1%: 7 occurrences (1.4%) 11.0% +12.1% to +14.3%: 3 occurrences (0.6%) +14.3% to +16.5%: 2 occurrences (0.4%) +16.5% to +18.7%: 1 occurrences (0.2%) 17.6%
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) 35.3% 15.8% Model-free reality across 487 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 15.3% Adjusts normal bell curve for real-world skewness (-0.09) and kurtosis (3.58).
Standard Normal (Black-Scholes / GBM) 44.9% 22.5% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 36.5% 13.7% Filters for historical windows that started with volatility similar to current 20-day HV (285 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 27.3%
  • Recent 20-Day HV: 26.2%
  • Parkinson Intraday Volatility: 18.3%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: +0.3%
  • Top 10% Move (90th percentile): +6.0%
  • Bottom 10% Move (10th percentile): -5.7%
  • Max Historical Gain (14d): +18.7%
  • Max Historical Loss (14d): -16.7%