Finance

GPRO Move Probability $1.06 -0.05 (-4.5%)

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)
73.6%
Stock touched +5.0% ($1.12) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
30.7%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.40x
You are 2.4x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±24.7%
$0.80 — $1.33

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%.

-42.6% to -28.9%: 34 occurrences (6.7%) -35.8% -28.9% to -15.3%: 89 occurrences (17.5%) -15.3% to -1.6%: 186 occurrences (36.6%) -1.6% to +12.1%: 82 occurrences (16.1%) 5.3% +12.1% to +25.8%: 40 occurrences (7.9%) +25.8% to +39.5%: 20 occurrences (3.9%) +39.5% to +53.2%: 12 occurrences (2.4%) 46.3% +53.2% to +66.8%: 9 occurrences (1.8%) +66.8% to +80.5%: 9 occurrences (1.8%) +80.5% to +94.2%: 7 occurrences (1.4%) 87.4% +94.2% to +107.9%: 5 occurrences (1.0%) +107.9% to +121.6%: 8 occurrences (1.6%) +121.6% to +135.2%: 4 occurrences (0.8%) 128.4% +135.2% to +148.9%: 1 occurrences (0.2%) +148.9% to +162.6%: 0 occurrences (0.0%) +162.6% to +176.3%: 2 occurrences (0.4%) 169.4%
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) 73.6% 30.7% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 29.5% Adjusts normal bell curve for real-world skewness (1.36) and kurtosis (7.11).
Standard Normal (Black-Scholes / GBM) 84.3% 42.2% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 70.7% 34.5% Filters for historical windows that started with volatility similar to current 20-day HV (232 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 104.8%
  • Recent 20-Day HV: 64.3%
  • Parkinson Intraday Volatility: 88.5%
  • Vol Trend: Compressed (-39% vs baseline)

14-Day Return Quantiles

  • Median Return: -5.3%
  • Top 10% Move (90th percentile): +46.5%
  • Bottom 10% Move (10th percentile): -24.6%
  • Max Historical Gain (14d): +176.3%
  • Max Historical Loss (14d): -42.6%