Finance

GLXZ Move Probability $1.61 +0.01 (+0.6%)

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)
26.7%
Stock touched +5.0% ($1.69) at least once during 14 trading days.
Median first touch: Day 6 of 14
Expiration Close Probability
8.8%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
3.02x
You are 3.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±8.4%
$1.47 — $1.75

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 487 historical windows (2024-10-22 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-37.5% to -33.6%: 7 occurrences (1.4%) -35.6% -33.6% to -29.7%: 6 occurrences (1.2%) -29.7% to -25.8%: 1 occurrences (0.2%) -25.8% to -22.0%: 1 occurrences (0.2%) -23.9% -22.0% to -18.1%: 2 occurrences (0.4%) -18.1% to -14.2%: 3 occurrences (0.6%) -14.2% to -10.3%: 12 occurrences (2.5%) -12.2% -10.3% to -6.4%: 30 occurrences (6.2%) -6.4% to -2.5%: 64 occurrences (13.1%) -2.5% to +1.4%: 215 occurrences (44.1%) -0.6% +1.4% to +5.2%: 104 occurrences (21.4%) +5.2% to +9.1%: 22 occurrences (4.5%) +9.1% to +13.0%: 10 occurrences (2.1%) 11.1% +13.0% to +16.9%: 3 occurrences (0.6%) +16.9% to +20.8%: 2 occurrences (0.4%) +20.8% to +24.7%: 5 occurrences (1.0%) 22.7%
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) 26.7% 8.8% Model-free reality across 487 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 13.1% Adjusts normal bell curve for real-world skewness (-0.66) and kurtosis (10.06).
Standard Normal (Black-Scholes / GBM) 56.2% 28.1% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 26.0% 8.1% Filters for historical windows that started with volatility similar to current 20-day HV (123 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 35.7%
  • Recent 20-Day HV: 27.0%
  • Parkinson Intraday Volatility: 34.5%
  • Vol Trend: Compressed (-24% vs baseline)

14-Day Return Quantiles

  • Median Return: -0.3%
  • Top 10% Move (90th percentile): +4.5%
  • Bottom 10% Move (10th percentile): -7.5%
  • Max Historical Gain (14d): +24.7%
  • Max Historical Loss (14d): -37.5%