Finance

GHI Move Probability $4.89 +0.15 (+3.2%)

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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Touch Probability (First Passage)
39.0%
Stock touched +5.0% ($5.13) at least once during 14 trading days.
Median first touch: Day 5 of 14
Expiration Close Probability
20.7%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.89x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±9.4%
$4.43 — $5.35

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%.

-35.7% to -31.9%: 4 occurrences (0.8%) -33.8% -31.9% to -28.2%: 5 occurrences (1.0%) -28.2% to -24.4%: 7 occurrences (1.4%) -24.4% to -20.7%: 10 occurrences (2.0%) -22.5% -20.7% to -16.9%: 6 occurrences (1.2%) -16.9% to -13.2%: 18 occurrences (3.5%) -13.2% to -9.4%: 34 occurrences (6.7%) -11.3% -9.4% to -5.7%: 48 occurrences (9.4%) -5.7% to -1.9%: 91 occurrences (17.9%) -1.9% to +1.8%: 104 occurrences (20.5%) -0.0% +1.8% to +5.6%: 83 occurrences (16.3%) +5.6% to +9.3%: 35 occurrences (6.9%) +9.3% to +13.1%: 39 occurrences (7.7%) 11.2% +13.1% to +16.8%: 15 occurrences (3.0%) +16.8% to +20.6%: 8 occurrences (1.6%) +20.6% to +24.3%: 1 occurrences (0.2%) 22.4%
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) 39.0% 20.7% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 21.4% Adjusts normal bell curve for real-world skewness (-0.24) and kurtosis (5.14).
Standard Normal (Black-Scholes / GBM) 60.3% 30.2% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 42.0% 22.2% Filters for historical windows that started with volatility similar to current 20-day HV (324 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 39.8%
  • Recent 20-Day HV: 41.0%
  • Parkinson Intraday Volatility: 20.6%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: -1.1%
  • Top 10% Move (90th percentile): +10.4%
  • Bottom 10% Move (10th percentile): -12.8%
  • Max Historical Gain (14d): +24.3%
  • Max Historical Loss (14d): -35.7%