Finance

GOLD Move Probability $38.76 +0.54 (+1.4%)

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 GOLD Options chain →
Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
63.2%
Stock touched +5.0% ($40.70) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
33.7%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.88x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±11.6%
$34.27 — $43.25

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%.

-28.9% to -23.8%: 11 occurrences (2.2%) -26.4% -23.8% to -18.7%: 18 occurrences (3.5%) -18.7% to -13.6%: 23 occurrences (4.5%) -13.6% to -8.5%: 59 occurrences (11.6%) -11.1% -8.5% to -3.4%: 74 occurrences (14.6%) -3.4% to +1.6%: 87 occurrences (17.1%) +1.6% to +6.7%: 94 occurrences (18.5%) 4.2% +6.7% to +11.8%: 67 occurrences (13.2%) +11.8% to +16.9%: 33 occurrences (6.5%) +16.9% to +22.0%: 19 occurrences (3.7%) 19.5% +22.0% to +27.1%: 8 occurrences (1.6%) +27.1% to +32.2%: 5 occurrences (1.0%) +32.2% to +37.3%: 4 occurrences (0.8%) 34.8% +37.3% to +42.4%: 3 occurrences (0.6%) +42.4% to +47.5%: 2 occurrences (0.4%) +47.5% to +52.6%: 1 occurrences (0.2%) 50.1%
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) 63.2% 33.7% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 25.7% Adjusts normal bell curve for real-world skewness (-0.0) and kurtosis (4.67).
Standard Normal (Black-Scholes / GBM) 67.3% 33.7% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 62.4% 34.9% Filters for historical windows that started with volatility similar to current 20-day HV (149 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 49.1%
  • Recent 20-Day HV: 27.9%
  • Parkinson Intraday Volatility: 37.2%
  • Vol Trend: Compressed (-43% vs baseline)

14-Day Return Quantiles

  • Median Return: +1.0%
  • Top 10% Move (90th percentile): +14.9%
  • Bottom 10% Move (10th percentile): -13.7%
  • Max Historical Gain (14d): +52.6%
  • Max Historical Loss (14d): -28.9%