Finance

GHRS Move Probability $18.90 -0.27 (-1.4%)

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)
74.6%
Stock touched +5.0% ($19.84) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
44.1%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.69x
You are 1.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±19.4%
$15.24 — $22.56

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%.

-35.9% to -26.5%: 19 occurrences (3.7%) -31.2% -26.5% to -17.1%: 29 occurrences (5.7%) -17.1% to -7.7%: 66 occurrences (13.0%) -7.7% to +1.7%: 136 occurrences (26.8%) -3.0% +1.7% to +11.2%: 101 occurrences (19.9%) +11.2% to +20.6%: 76 occurrences (15.0%) +20.6% to +30.0%: 40 occurrences (7.9%) 25.3% +30.0% to +39.4%: 19 occurrences (3.7%) +39.4% to +48.8%: 9 occurrences (1.8%) +48.8% to +58.2%: 3 occurrences (0.6%) 53.5% +58.2% to +67.6%: 7 occurrences (1.4%) +67.6% to +77.1%: 0 occurrences (0.0%) +77.1% to +86.5%: 1 occurrences (0.2%) 81.8% +86.5% to +95.9%: 0 occurrences (0.0%) +95.9% to +105.3%: 1 occurrences (0.2%) +105.3% to +114.7%: 1 occurrences (0.2%) 110.0%
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) 74.6% 44.1% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 13.8% Adjusts normal bell curve for real-world skewness (2.22) and kurtosis (21.39).
Standard Normal (Black-Scholes / GBM) 80.1% 40.1% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 72.6% 38.6% 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: 82.2%
  • Recent 20-Day HV: 53.3%
  • Parkinson Intraday Volatility: 58.1%
  • Vol Trend: Compressed (-35% vs baseline)

14-Day Return Quantiles

  • Median Return: +2.2%
  • Top 10% Move (90th percentile): +28.0%
  • Bottom 10% Move (10th percentile): -16.3%
  • Max Historical Gain (14d): +114.7%
  • Max Historical Loss (14d): -35.9%