Finance

GIFT Move Probability $0.47 -0.18 (-27.3%)

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)
52.7%
Stock touched +5.0% ($0.49) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
25.0%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.10x
You are 2.1x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±21.6%
$0.37 — $0.57

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 507 historical windows (2024-09-23 to 2026-10-20). The colored bar indicates the win zone for +5.0%.

-50.7% to -43.2%: 3 occurrences (0.6%) -46.9% -43.2% to -35.6%: 5 occurrences (1.0%) -35.6% to -28.1%: 13 occurrences (2.6%) -28.1% to -20.6%: 36 occurrences (7.1%) -24.3% -20.6% to -13.0%: 44 occurrences (8.7%) -13.0% to -5.5%: 107 occurrences (21.1%) -5.5% to +2.0%: 136 occurrences (26.8%) -1.8% +2.0% to +9.5%: 72 occurrences (14.2%) +9.5% to +17.1%: 40 occurrences (7.9%) +17.1% to +24.6%: 22 occurrences (4.3%) 20.8% +24.6% to +32.1%: 6 occurrences (1.2%) +32.1% to +39.7%: 9 occurrences (1.8%) +39.7% to +47.2%: 2 occurrences (0.4%) 43.4% +47.2% to +54.7%: 5 occurrences (1.0%) +54.7% to +62.2%: 4 occurrences (0.8%) +62.2% to +69.8%: 3 occurrences (0.6%) 66.0%
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) 52.7% 25.0% Model-free reality across 507 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 36.4% Adjusts normal bell curve for real-world skewness (-0.39) and kurtosis (6.75).
Standard Normal (Black-Scholes / GBM) 82.2% 41.1% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 76.7% 50.0% Filters for historical windows that started with volatility similar to current 20-day HV (86 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 91.8%
  • Recent 20-Day HV: 181.2%
  • Parkinson Intraday Volatility: 49.5%
  • Vol Trend: Expanded (+97% vs baseline)

14-Day Return Quantiles

  • Median Return: -2.8%
  • Top 10% Move (90th percentile): +17.0%
  • Bottom 10% Move (10th percentile): -21.6%
  • Max Historical Gain (14d): +69.8%
  • Max Historical Loss (14d): -50.7%