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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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
0.2%
Stock touched +5.0% ($397.93) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
0.2%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
1.00x
You are 1.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±1.5%
$373.23 — $384.73

Historical 1-Day Return Distribution

Frequency of rolling 1-day percentage returns over 521 historical windows (2024-09-23 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-10.1% to -9.0%: 1 occurrences (0.2%) -9.5% -9.0% to -8.0%: 0 occurrences (0.0%) -8.0% to -7.0%: 0 occurrences (0.0%) -7.0% to -6.0%: 1 occurrences (0.2%) -6.5% -6.0% to -5.0%: 0 occurrences (0.0%) -5.0% to -4.0%: 5 occurrences (1.0%) -4.0% to -2.9%: 11 occurrences (2.1%) -3.4% -2.9% to -1.9%: 23 occurrences (4.4%) -1.9% to -0.9%: 58 occurrences (11.1%) -0.9% to +0.1%: 151 occurrences (29.0%) -0.4% +0.1% to +1.1%: 169 occurrences (32.4%) +1.1% to +2.1%: 68 occurrences (13.1%) +2.1% to +3.2%: 24 occurrences (4.6%) 2.7% +3.2% to +4.2%: 9 occurrences (1.7%) +4.2% to +5.2%: 0 occurrences (0.0%) +5.2% to +6.2%: 1 occurrences (0.2%) 5.7%
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) 0.2% 0.2% Model-free reality across 521 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 36.2% Adjusts normal bell curve for real-world skewness (-0.93) and kurtosis (5.61).
Standard Normal (Black-Scholes / GBM) 0.1% 0.1% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 0.0% 0.0% Filters for historical windows that started with volatility similar to current 20-day HV (283 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

1-Day Return Quantiles

  • Median Return: +0.2%
  • Top 10% Move (90th percentile): +1.7%
  • Bottom 10% Move (10th percentile): -1.7%
  • Max Historical Gain (1d): +6.2%
  • Max Historical Loss (1d): -10.1%