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.

← Back to GM Options chain →
Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
4.2%
Stock touched +5.0% ($79.89) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
2.3%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
1.83x
You are 1.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±2.3%
$74.36 — $77.81

Historical 1-Day Return Distribution

Frequency of rolling 1-day percentage returns over 521 historical windows (2024-09-23 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-9.1% to -7.6%: 3 occurrences (0.6%) -8.4% -7.6% to -6.1%: 2 occurrences (0.4%) -6.1% to -4.6%: 3 occurrences (0.6%) -4.6% to -3.1%: 25 occurrences (4.8%) -3.9% -3.1% to -1.6%: 52 occurrences (10.0%) -1.6% to -0.2%: 145 occurrences (27.8%) -0.2% to +1.3%: 170 occurrences (32.6%) 0.6% +1.3% to +2.8%: 79 occurrences (15.2%) +2.8% to +4.3%: 26 occurrences (5.0%) +4.3% to +5.8%: 10 occurrences (1.9%) 5.1% +5.8% to +7.3%: 1 occurrences (0.2%) +7.3% to +8.8%: 3 occurrences (0.6%) +8.8% to +10.3%: 1 occurrences (0.2%) 9.6% +10.3% to +11.8%: 0 occurrences (0.0%) +11.8% to +13.3%: 0 occurrences (0.0%) +13.3% to +14.8%: 1 occurrences (0.2%) 14.1%
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) 4.2% 2.3% Model-free reality across 521 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 10.5% Adjusts normal bell curve for real-world skewness (0.35) and kurtosis (4.85).
Standard Normal (Black-Scholes / GBM) 3.1% 1.5% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 4.5% 2.9% Filters for historical windows that started with volatility similar to current 20-day HV (381 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

1-Day Return Quantiles

  • Median Return: +0.1%
  • Top 10% Move (90th percentile): +2.6%
  • Bottom 10% Move (10th percentile): -2.3%
  • Max Historical Gain (1d): +14.8%
  • Max Historical Loss (1d): -9.1%