Finance

GMAB Move Probability $43.88 +3.88 (+9.7%)

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)
58.0%
Stock touched +5.0% ($46.07) at least once during 14 trading days.
Median first touch: Day 6 of 14
Expiration Close Probability
36.1%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.61x
You are 1.6x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±8.4%
$40.21 — $47.55

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 510 historical windows (2024-09-23 to 2026-10-23). The colored bar indicates the win zone for +5.0%.

-20.9% to -18.1%: 1 occurrences (0.2%) -19.5% -18.1% to -15.4%: 3 occurrences (0.6%) -15.4% to -12.6%: 7 occurrences (1.4%) -12.6% to -9.8%: 42 occurrences (8.2%) -11.2% -9.8% to -7.0%: 41 occurrences (8.0%) -7.0% to -4.3%: 47 occurrences (9.2%) -4.3% to -1.5%: 69 occurrences (13.5%) -2.9% -1.5% to +1.3%: 47 occurrences (9.2%) +1.3% to +4.1%: 47 occurrences (9.2%) +4.1% to +6.9%: 59 occurrences (11.6%) 5.5% +6.9% to +9.6%: 37 occurrences (7.3%) +9.6% to +12.4%: 42 occurrences (8.2%) +12.4% to +15.2%: 35 occurrences (6.9%) 13.8% +15.2% to +18.0%: 19 occurrences (3.7%) +18.0% to +20.7%: 11 occurrences (2.2%) +20.7% to +23.5%: 3 occurrences (0.6%) 22.1%
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) 58.0% 36.1% Model-free reality across 510 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 23.8% Adjusts normal bell curve for real-world skewness (-0.14) and kurtosis (2.26).
Standard Normal (Black-Scholes / GBM) 56.0% 28.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 68.7% 46.6% Filters for historical windows that started with volatility similar to current 20-day HV (163 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 35.5%
  • Recent 20-Day HV: 56.4%
  • Parkinson Intraday Volatility: 22.9%
  • Vol Trend: Expanded (+59% vs baseline)

14-Day Return Quantiles

  • Median Return: +1.2%
  • Top 10% Move (90th percentile): +13.3%
  • Bottom 10% Move (10th percentile): -9.9%
  • Max Historical Gain (14d): +23.5%
  • Max Historical Loss (14d): -20.9%