Finance

GLXY Move Probability $16.95 +1.20 (+7.6%)

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)
35.4%
Stock touched +5.0% ($17.79) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
16.4%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
2.15x
You are 2.1x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±5.6%
$16.00 — $17.89

Historical 1-Day Return Distribution

Frequency of rolling 1-day percentage returns over 359 historical windows (2025-05-16 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-16.8% to -14.4%: 2 occurrences (0.6%) -15.6% -14.4% to -12.0%: 4 occurrences (1.1%) -12.0% to -9.6%: 5 occurrences (1.4%) -9.6% to -7.3%: 21 occurrences (5.8%) -8.5% -7.3% to -4.9%: 34 occurrences (9.5%) -4.9% to -2.5%: 42 occurrences (11.7%) -2.5% to -0.1%: 66 occurrences (18.4%) -1.3% -0.1% to +2.2%: 61 occurrences (17.0%) +2.2% to +4.6%: 58 occurrences (16.2%) +4.6% to +7.0%: 31 occurrences (8.6%) 5.8% +7.0% to +9.4%: 18 occurrences (5.0%) +9.4% to +11.8%: 10 occurrences (2.8%) +11.8% to +14.1%: 2 occurrences (0.6%) 13.0% +14.1% to +16.5%: 0 occurrences (0.0%) +16.5% to +18.9%: 4 occurrences (1.1%) +18.9% to +21.3%: 1 occurrences (0.3%) 20.1%
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) 35.4% 16.4% Model-free reality across 359 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 17.7% Adjusts normal bell curve for real-world skewness (-0.02) and kurtosis (0.68).
Standard Normal (Black-Scholes / GBM) 38.4% 19.2% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 33.8% 17.4% Filters for historical windows that started with volatility similar to current 20-day HV (207 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 89.0%
  • Recent 20-Day HV: 65.8%
  • Parkinson Intraday Volatility: 73.1%
  • Vol Trend: Compressed (-26% vs baseline)

1-Day Return Quantiles

  • Median Return: +0.1%
  • Top 10% Move (90th percentile): +6.9%
  • Bottom 10% Move (10th percentile): -6.7%
  • Max Historical Gain (1d): +21.3%
  • Max Historical Loss (1d): -16.8%