Finance

GBR Move Probability $0.69 -0.03 (-3.6%)

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)
49.2%
Stock touched +5.0% ($0.72) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
22.0%
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%)
±18.3%
$0.56 — $0.81

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%.

-35.1% to -26.8%: 2 occurrences (0.4%) -30.9% -26.8% to -18.5%: 17 occurrences (3.3%) -18.5% to -10.2%: 82 occurrences (16.1%) -10.2% to -1.9%: 151 occurrences (29.7%) -6.0% -1.9% to +6.4%: 154 occurrences (30.3%) +6.4% to +14.7%: 53 occurrences (10.4%) +14.7% to +23.0%: 25 occurrences (4.9%) 18.9% +23.0% to +31.3%: 8 occurrences (1.6%) +31.3% to +39.6%: 6 occurrences (1.2%) +39.6% to +47.9%: 4 occurrences (0.8%) 43.7% +47.9% to +56.2%: 3 occurrences (0.6%) +56.2% to +64.5%: 2 occurrences (0.4%) +64.5% to +72.8%: 0 occurrences (0.0%) 68.6% +72.8% to +81.1%: 0 occurrences (0.0%) +81.1% to +89.4%: 0 occurrences (0.0%) +89.4% to +97.7%: 1 occurrences (0.2%) 93.5%
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) 49.2% 22.0% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 23.0% Adjusts normal bell curve for real-world skewness (1.14) and kurtosis (10.56).
Standard Normal (Black-Scholes / GBM) 79.0% 39.5% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 61.7% 44.2% Filters for historical windows that started with volatility similar to current 20-day HV (120 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 77.8%
  • Recent 20-Day HV: 98.1%
  • Parkinson Intraday Volatility: 46.4%
  • Vol Trend: Expanded (+26% vs baseline)

14-Day Return Quantiles

  • Median Return: -1.8%
  • Top 10% Move (90th percentile): +14.0%
  • Bottom 10% Move (10th percentile): -15.6%
  • Max Historical Gain (14d): +97.7%
  • Max Historical Loss (14d): -35.1%