Finance

GLP Move Probability $49.55 -0.83 (-1.6%)

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)
41.5%
Stock touched +5.0% ($52.03) at least once during 14 trading days.
Median first touch: Day 7 of 14
Expiration Close Probability
25.6%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.62x
You are 1.6x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±7.4%
$45.88 — $53.22

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%.

-19.0% to -16.5%: 2 occurrences (0.4%) -17.8% -16.5% to -14.0%: 6 occurrences (1.2%) -14.0% to -11.5%: 15 occurrences (3.0%) -11.5% to -9.0%: 18 occurrences (3.5%) -10.3% -9.0% to -6.5%: 35 occurrences (6.9%) -6.5% to -4.0%: 47 occurrences (9.3%) -4.0% to -1.5%: 55 occurrences (10.8%) -2.8% -1.5% to +1.0%: 88 occurrences (17.3%) +1.0% to +3.5%: 70 occurrences (13.8%) +3.5% to +6.0%: 58 occurrences (11.4%) 4.7% +6.0% to +8.5%: 42 occurrences (8.3%) +8.5% to +11.0%: 35 occurrences (6.9%) +11.0% to +13.5%: 19 occurrences (3.7%) 12.2% +13.5% to +16.0%: 10 occurrences (2.0%) +16.0% to +18.5%: 6 occurrences (1.2%) +18.5% to +21.0%: 2 occurrences (0.4%) 19.7%
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) 41.5% 25.6% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 17.0% Adjusts normal bell curve for real-world skewness (-0.6) and kurtosis (5.41).
Standard Normal (Black-Scholes / GBM) 51.1% 25.5% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 31.0% 14.5% Filters for historical windows that started with volatility similar to current 20-day HV (310 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 31.5%
  • Recent 20-Day HV: 22.6%
  • Parkinson Intraday Volatility: 17.4%
  • Vol Trend: Compressed (-28% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.6%
  • Top 10% Move (90th percentile): +9.4%
  • Bottom 10% Move (10th percentile): -8.1%
  • Max Historical Gain (14d): +21.0%
  • Max Historical Loss (14d): -19.0%