Finance

GBLI Move Probability $23.71 -0.80 (-3.3%)

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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Touch Probability (First Passage)
17.3%
Stock touched +5.0% ($24.90) at least once during 14 trading days.
Median first touch: Day 7 of 14
Expiration Close Probability
11.6%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.49x
You are 1.5x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±5.7%
$22.35 — $25.07

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%.

-17.5% to -15.7%: 15 occurrences (3.0%) -16.6% -15.7% to -13.9%: 2 occurrences (0.4%) -13.9% to -12.1%: 6 occurrences (1.2%) -12.1% to -10.4%: 5 occurrences (1.0%) -11.3% -10.4% to -8.6%: 0 occurrences (0.0%) -8.6% to -6.8%: 1 occurrences (0.2%) -6.8% to -5.1%: 22 occurrences (4.3%) -5.9% -5.1% to -3.3%: 64 occurrences (12.6%) -3.3% to -1.5%: 64 occurrences (12.6%) -1.5% to +0.3%: 122 occurrences (24.0%) -0.6% +0.3% to +2.0%: 68 occurrences (13.4%) +2.0% to +3.8%: 50 occurrences (9.8%) +3.8% to +5.6%: 40 occurrences (7.9%) 4.7% +5.6% to +7.3%: 11 occurrences (2.2%) +7.3% to +9.1%: 29 occurrences (5.7%) +9.1% to +10.9%: 9 occurrences (1.8%) 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) 17.3% 11.6% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 0.1% Adjusts normal bell curve for real-world skewness (-2.37) and kurtosis (36.2).
Standard Normal (Black-Scholes / GBM) 39.4% 19.7% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 15.4% 12.4% Filters for historical windows that started with volatility similar to current 20-day HV (234 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 24.3%
  • Recent 20-Day HV: 21.4%
  • Parkinson Intraday Volatility: 4.1%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: -0.0%
  • Top 10% Move (90th percentile): +5.4%
  • Bottom 10% Move (10th percentile): -5.0%
  • Max Historical Gain (14d): +10.9%
  • Max Historical Loss (14d): -17.5%