Finance

GEL Move Probability $14.06 -0.03 (-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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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
43.7%
Stock touched +5.0% ($14.76) at least once during 14 trading days.
Median first touch: Day 6 of 14
Expiration Close Probability
27.4%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.60x
You are 1.6x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±7.9%
$12.95 — $15.17

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%.

-18.9% to -16.1%: 5 occurrences (1.0%) -17.5% -16.1% to -13.4%: 10 occurrences (2.0%) -13.4% to -10.7%: 20 occurrences (3.9%) -10.7% to -8.0%: 22 occurrences (4.3%) -9.3% -8.0% to -5.3%: 45 occurrences (8.9%) -5.3% to -2.6%: 62 occurrences (12.2%) -2.6% to +0.2%: 73 occurrences (14.4%) -1.2% +0.2% to +2.9%: 77 occurrences (15.2%) +2.9% to +5.6%: 77 occurrences (15.2%) +5.6% to +8.3%: 53 occurrences (10.4%) 7.0% +8.3% to +11.0%: 23 occurrences (4.5%) +11.0% to +13.7%: 16 occurrences (3.1%) +13.7% to +16.5%: 4 occurrences (0.8%) 15.1% +16.5% to +19.2%: 8 occurrences (1.6%) +19.2% to +21.9%: 7 occurrences (1.4%) +21.9% to +24.6%: 6 occurrences (1.2%) 23.2%
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) 43.7% 27.4% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 15.4% Adjusts normal bell curve for real-world skewness (0.15) and kurtosis (5.71).
Standard Normal (Black-Scholes / GBM) 53.5% 26.8% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 32.7% 17.9% Filters for historical windows that started with volatility similar to current 20-day HV (223 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 33.4%
  • Recent 20-Day HV: 22.1%
  • Parkinson Intraday Volatility: 25.9%
  • Vol Trend: Compressed (-34% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.8%
  • Top 10% Move (90th percentile): +8.9%
  • Bottom 10% Move (10th percentile): -8.9%
  • Max Historical Gain (14d): +24.6%
  • Max Historical Loss (14d): -18.9%