Finance

GLRE Move Probability $14.94 -0.13 (-0.9%)

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)
32.1%
Stock touched +5.0% ($15.68) at least once during 14 trading days.
Median first touch: Day 7 of 14
Expiration Close Probability
19.5%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.65x
You are 1.6x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±5.9%
$14.06 — $15.81

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%.

-16.0% to -13.7%: 5 occurrences (1.0%) -14.8% -13.7% to -11.4%: 5 occurrences (1.0%) -11.4% to -9.1%: 6 occurrences (1.2%) -9.1% to -6.8%: 34 occurrences (6.7%) -7.9% -6.8% to -4.4%: 33 occurrences (6.5%) -4.4% to -2.1%: 89 occurrences (17.5%) -2.1% to +0.2%: 109 occurrences (21.5%) -1.0% +0.2% to +2.5%: 64 occurrences (12.6%) +2.5% to +4.8%: 60 occurrences (11.8%) +4.8% to +7.1%: 41 occurrences (8.1%) 6.0% +7.1% to +9.4%: 30 occurrences (5.9%) +9.4% to +11.8%: 15 occurrences (3.0%) +11.8% to +14.1%: 4 occurrences (0.8%) 12.9% +14.1% to +16.4%: 6 occurrences (1.2%) +16.4% to +18.7%: 4 occurrences (0.8%) +18.7% to +21.0%: 3 occurrences (0.6%) 19.8%
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) 32.1% 19.5% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 17.2% Adjusts normal bell curve for real-world skewness (0.29) and kurtosis (1.36).
Standard Normal (Black-Scholes / GBM) 40.7% 20.3% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 30.0% 26.0% Filters for historical windows that started with volatility similar to current 20-day HV (150 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 25.0%
  • Recent 20-Day HV: 15.4%
  • Parkinson Intraday Volatility: 17.6%
  • Vol Trend: Compressed (-38% vs baseline)

14-Day Return Quantiles

  • Median Return: -0.5%
  • Top 10% Move (90th percentile): +8.0%
  • Bottom 10% Move (10th percentile): -6.4%
  • Max Historical Gain (14d): +21.0%
  • Max Historical Loss (14d): -16.0%