Finance

GLD Move Probability $378.98 +1.30 (+0.3%)

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)
38.6%
Stock touched +5.0% ($397.93) at least once during 14 trading days.
Median first touch: Day 8 of 14
Expiration Close Probability
24.0%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.61x
You are 1.6x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±5.7%
$357.48 — $400.48

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%.

-15.6% to -13.4%: 4 occurrences (0.8%) -14.5% -13.4% to -11.1%: 3 occurrences (0.6%) -11.1% to -8.8%: 5 occurrences (1.0%) -8.8% to -6.5%: 17 occurrences (3.3%) -7.7% -6.5% to -4.2%: 41 occurrences (8.1%) -4.2% to -2.0%: 54 occurrences (10.6%) -2.0% to +0.3%: 95 occurrences (18.7%) -0.8% +0.3% to +2.6%: 86 occurrences (16.9%) +2.6% to +4.9%: 74 occurrences (14.6%) +4.9% to +7.1%: 70 occurrences (13.8%) 6.0% +7.1% to +9.4%: 33 occurrences (6.5%) +9.4% to +11.7%: 12 occurrences (2.4%) +11.7% to +14.0%: 7 occurrences (1.4%) 12.8% +14.0% to +16.2%: 5 occurrences (1.0%) +16.2% to +18.5%: 0 occurrences (0.0%) +18.5% to +20.8%: 2 occurrences (0.4%) 19.6%
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) 38.6% 24.0% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 11.5% Adjusts normal bell curve for real-world skewness (-0.93) and kurtosis (5.61).
Standard Normal (Black-Scholes / GBM) 39.0% 19.5% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 38.9% 23.3% Filters for historical windows that started with volatility similar to current 20-day HV (270 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 24.1%
  • Recent 20-Day HV: 20.4%
  • Parkinson Intraday Volatility: 13.3%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: +1.1%
  • Top 10% Move (90th percentile): +7.5%
  • Bottom 10% Move (10th percentile): -5.1%
  • Max Historical Gain (14d): +20.8%
  • Max Historical Loss (14d): -15.6%