Finance

GMRS Move Probability $10.39 -0.08 (-0.8%)

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)
65.3%
Stock touched +5.0% ($10.91) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
30.6%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.13x
You are 2.1x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±15.1%
$8.83 — $11.96

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 98 historical windows (2026-05-13 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-27.5% to -23.4%: 4 occurrences (4.1%) -25.5% -23.4% to -19.3%: 9 occurrences (9.2%) -19.3% to -15.2%: 6 occurrences (6.1%) -15.2% to -11.1%: 7 occurrences (7.1%) -13.2% -11.1% to -7.1%: 11 occurrences (11.2%) -7.1% to -3.0%: 9 occurrences (9.2%) -3.0% to +1.1%: 15 occurrences (15.3%) -0.9% +1.1% to +5.2%: 9 occurrences (9.2%) +5.2% to +9.3%: 8 occurrences (8.2%) +9.3% to +13.4%: 6 occurrences (6.1%) 11.4% +13.4% to +17.5%: 5 occurrences (5.1%) +17.5% to +21.6%: 0 occurrences (0.0%) +21.6% to +25.7%: 2 occurrences (2.0%) 23.7% +25.7% to +29.8%: 1 occurrences (1.0%) +29.8% to +33.9%: 5 occurrences (5.1%) +33.9% to +38.0%: 1 occurrences (1.0%) 36.0%
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) 65.3% 30.6% Model-free reality across 98 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 34.9% Adjusts normal bell curve for real-world skewness (0.32) and kurtosis (0.53).
Standard Normal (Black-Scholes / GBM) 74.6% 37.3% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 52.5% 15.3% Filters for historical windows that started with volatility similar to current 20-day HV (59 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 64.0%
  • Recent 20-Day HV: 55.6%
  • Parkinson Intraday Volatility: 53.4%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: -2.2%
  • Top 10% Move (90th percentile): +16.1%
  • Bottom 10% Move (10th percentile): -19.7%
  • Max Historical Gain (14d): +38.0%
  • Max Historical Loss (14d): -27.5%