Finance

GFR Move Probability $6.66 +0.31 (+4.9%)

Real historical back-data analysis: evaluates rolling trading-day windows to determine the probability of a stock touching or closing at your target move.

← Back to GFR Options chain →
Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
61.0%
Stock touched +5.0% ($6.99) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
25.2%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.42x
You are 2.4x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±11.9%
$5.86 — $7.45

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 508 historical windows (2024-09-13 to 2026-10-13). The colored bar indicates the win zone for +5.0%.

-24.8% to -21.7%: 5 occurrences (1.0%) -23.3% -21.7% to -18.7%: 5 occurrences (1.0%) -18.7% to -15.7%: 7 occurrences (1.4%) -15.7% to -12.6%: 21 occurrences (4.1%) -14.1% -12.6% to -9.6%: 30 occurrences (5.9%) -9.6% to -6.5%: 47 occurrences (9.3%) -6.5% to -3.5%: 63 occurrences (12.4%) -5.0% -3.5% to -0.5%: 77 occurrences (15.2%) -0.5% to +2.6%: 74 occurrences (14.6%) +2.6% to +5.6%: 56 occurrences (11.0%) 4.1% +5.6% to +8.6%: 39 occurrences (7.7%) +8.6% to +11.7%: 35 occurrences (6.9%) +11.7% to +14.7%: 19 occurrences (3.7%) 13.2% +14.7% to +17.7%: 11 occurrences (2.2%) +17.7% to +20.8%: 13 occurrences (2.6%) +20.8% to +23.8%: 6 occurrences (1.2%) 22.3%
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) 61.0% 25.2% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 28.3% Adjusts normal bell curve for real-world skewness (-0.16) and kurtosis (3.87).
Standard Normal (Black-Scholes / GBM) 68.2% 34.1% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 63.0% 28.0% Filters for historical windows that started with volatility similar to current 20-day HV (378 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 50.4%
  • Recent 20-Day HV: 48.9%
  • Parkinson Intraday Volatility: 32.5%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: -0.5%
  • Top 10% Move (90th percentile): +11.6%
  • Bottom 10% Move (10th percentile): -10.8%
  • Max Historical Gain (14d): +23.8%
  • Max Historical Loss (14d): -24.8%