Finance

GLUE Move Probability $11.22 -0.14 (-1.2%)

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)
71.7%
Stock touched +5.0% ($11.78) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
41.9%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.71x
You are 1.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±22.0%
$8.75 — $13.69

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%.

-42.7% to -34.1%: 8 occurrences (1.6%) -38.4% -34.1% to -25.6%: 23 occurrences (4.5%) -25.6% to -17.0%: 53 occurrences (10.4%) -17.0% to -8.4%: 89 occurrences (17.5%) -12.7% -8.4% to +0.1%: 97 occurrences (19.1%) +0.1% to +8.7%: 50 occurrences (9.8%) +8.7% to +17.3%: 55 occurrences (10.8%) 13.0% +17.3% to +25.8%: 47 occurrences (9.3%) +25.8% to +34.4%: 28 occurrences (5.5%) +34.4% to +43.0%: 14 occurrences (2.8%) 38.7% +43.0% to +51.5%: 13 occurrences (2.6%) +51.5% to +60.1%: 12 occurrences (2.4%) +60.1% to +68.7%: 4 occurrences (0.8%) 64.4% +68.7% to +77.2%: 9 occurrences (1.8%) +77.2% to +85.8%: 1 occurrences (0.2%) +85.8% to +94.4%: 5 occurrences (1.0%) 90.1%
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) 71.7% 41.9% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 8.2% Adjusts normal bell curve for real-world skewness (3.3) and kurtosis (35.9).
Standard Normal (Black-Scholes / GBM) 82.5% 41.2% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 72.3% 39.9% Filters for historical windows that started with volatility similar to current 20-day HV (318 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 93.5%
  • Recent 20-Day HV: 63.4%
  • Parkinson Intraday Volatility: 69.0%
  • Vol Trend: Compressed (-32% vs baseline)

14-Day Return Quantiles

  • Median Return: -1.6%
  • Top 10% Move (90th percentile): +36.2%
  • Bottom 10% Move (10th percentile): -21.0%
  • Max Historical Gain (14d): +94.4%
  • Max Historical Loss (14d): -42.7%