Finance

GILT Move Probability $7.87 +0.11 (+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)
72.8%
Stock touched +5.0% ($8.26) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
42.9%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.70x
You are 1.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±14.6%
$6.72 — $9.02

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%.

-28.8% to -24.2%: 9 occurrences (1.8%) -26.5% -24.2% to -19.6%: 21 occurrences (4.1%) -19.6% to -15.0%: 21 occurrences (4.1%) -15.0% to -10.4%: 42 occurrences (8.3%) -12.7% -10.4% to -5.8%: 49 occurrences (9.6%) -5.8% to -1.2%: 67 occurrences (13.2%) -1.2% to +3.4%: 56 occurrences (11.0%) 1.1% +3.4% to +8.0%: 70 occurrences (13.8%) +8.0% to +12.6%: 61 occurrences (12.0%) +12.6% to +17.2%: 52 occurrences (10.2%) 14.9% +17.2% to +21.8%: 18 occurrences (3.5%) +21.8% to +26.4%: 20 occurrences (3.9%) +26.4% to +31.0%: 9 occurrences (1.8%) 28.7% +31.0% to +35.6%: 5 occurrences (1.0%) +35.6% to +40.2%: 5 occurrences (1.0%) +40.2% to +44.8%: 3 occurrences (0.6%) 42.5%
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) 72.8% 42.9% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 27.6% Adjusts normal bell curve for real-world skewness (-0.31) and kurtosis (7.72).
Standard Normal (Black-Scholes / GBM) 73.8% 36.9% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 81.3% 52.7% Filters for historical windows that started with volatility similar to current 20-day HV (203 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 61.9%
  • Recent 20-Day HV: 40.6%
  • Parkinson Intraday Volatility: 42.7%
  • Vol Trend: Compressed (-34% vs baseline)

14-Day Return Quantiles

  • Median Return: +2.5%
  • Top 10% Move (90th percentile): +18.7%
  • Bottom 10% Move (10th percentile): -14.7%
  • Max Historical Gain (14d): +44.8%
  • Max Historical Loss (14d): -28.8%