Finance

GCMG Move Probability $12.44 -0.14 (-1.1%)

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)
40.2%
Stock touched +5.0% ($13.06) at least once during 14 trading days.
Median first touch: Day 6 of 14
Expiration Close Probability
23.4%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.71x
You are 1.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±6.8%
$11.59 — $13.28

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%.

-17.2% to -14.6%: 9 occurrences (1.8%) -15.9% -14.6% to -11.9%: 5 occurrences (1.0%) -11.9% to -9.3%: 15 occurrences (3.0%) -9.3% to -6.7%: 34 occurrences (6.7%) -8.0% -6.7% to -4.1%: 48 occurrences (9.4%) -4.1% to -1.5%: 59 occurrences (11.6%) -1.5% to +1.1%: 111 occurrences (21.9%) -0.2% +1.1% to +3.7%: 78 occurrences (15.4%) +3.7% to +6.3%: 54 occurrences (10.6%) +6.3% to +8.9%: 40 occurrences (7.9%) 7.6% +8.9% to +11.5%: 22 occurrences (4.3%) +11.5% to +14.2%: 16 occurrences (3.1%) +14.2% to +16.8%: 8 occurrences (1.6%) 15.5% +16.8% to +19.4%: 5 occurrences (1.0%) +19.4% to +22.0%: 3 occurrences (0.6%) +22.0% to +24.6%: 1 occurrences (0.2%) 23.3%
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) 40.2% 23.4% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 10.0% Adjusts normal bell curve for real-world skewness (0.48) and kurtosis (7.29).
Standard Normal (Black-Scholes / GBM) 47.1% 23.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 36.7% 19.8% Filters for historical windows that started with volatility similar to current 20-day HV (313 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 28.7%
  • Recent 20-Day HV: 26.9%
  • Parkinson Intraday Volatility: 23.0%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: +0.5%
  • Top 10% Move (90th percentile): +9.3%
  • Bottom 10% Move (10th percentile): -7.7%
  • Max Historical Gain (14d): +24.6%
  • Max Historical Loss (14d): -17.2%