Finance

GM Move Probability $76.08 -1.02 (-1.3%)

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)
55.1%
Stock touched +5.0% ($79.89) at least once during 14 trading days.
Median first touch: Day 5 of 14
Expiration Close Probability
30.9%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.78x
You are 1.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±8.5%
$69.65 — $82.52

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%.

-15.2% to -12.7%: 5 occurrences (1.0%) -14.0% -12.7% to -10.3%: 8 occurrences (1.6%) -10.3% to -7.8%: 15 occurrences (3.0%) -7.8% to -5.3%: 44 occurrences (8.7%) -6.6% -5.3% to -2.9%: 59 occurrences (11.6%) -2.9% to -0.4%: 74 occurrences (14.6%) -0.4% to +2.0%: 88 occurrences (17.3%) 0.8% +2.0% to +4.5%: 47 occurrences (9.3%) +4.5% to +7.0%: 53 occurrences (10.4%) +7.0% to +9.4%: 41 occurrences (8.1%) 8.2% +9.4% to +11.9%: 31 occurrences (6.1%) +11.9% to +14.4%: 16 occurrences (3.1%) +14.4% to +16.8%: 12 occurrences (2.4%) 15.6% +16.8% to +19.3%: 5 occurrences (1.0%) +19.3% to +21.8%: 5 occurrences (1.0%) +21.8% to +24.2%: 5 occurrences (1.0%) 23.0%
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) 55.1% 30.9% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 17.9% Adjusts normal bell curve for real-world skewness (0.35) and kurtosis (4.85).
Standard Normal (Black-Scholes / GBM) 56.4% 28.2% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 54.9% 28.8% Filters for historical windows that started with volatility similar to current 20-day HV (368 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 35.9%
  • Recent 20-Day HV: 41.0%
  • Parkinson Intraday Volatility: 27.4%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: +0.8%
  • Top 10% Move (90th percentile): +10.8%
  • Bottom 10% Move (10th percentile): -6.1%
  • Max Historical Gain (14d): +24.2%
  • Max Historical Loss (14d): -15.2%