Finance

GROV Move Probability $1.02 -0.02 (-1.9%)

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)
47.2%
Stock touched +5.0% ($1.07) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
25.0%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.89x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±12.8%
$0.89 — $1.15

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%.

-34.4% to -29.3%: 3 occurrences (0.6%) -31.8% -29.3% to -24.2%: 3 occurrences (0.6%) -24.2% to -19.2%: 11 occurrences (2.2%) -19.2% to -14.1%: 24 occurrences (4.7%) -16.6% -14.1% to -9.0%: 59 occurrences (11.6%) -9.0% to -4.0%: 69 occurrences (13.6%) -4.0% to +1.1%: 134 occurrences (26.4%) -1.5% +1.1% to +6.1%: 94 occurrences (18.5%) +6.1% to +11.2%: 47 occurrences (9.3%) +11.2% to +16.3%: 20 occurrences (3.9%) 13.7% +16.3% to +21.3%: 16 occurrences (3.1%) +21.3% to +26.4%: 15 occurrences (3.0%) +26.4% to +31.5%: 8 occurrences (1.6%) 28.9% +31.5% to +36.5%: 2 occurrences (0.4%) +36.5% to +41.6%: 1 occurrences (0.2%) +41.6% to +46.7%: 2 occurrences (0.4%) 44.1%
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) 47.2% 25.0% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 24.1% Adjusts normal bell curve for real-world skewness (-0.15) and kurtosis (7.61).
Standard Normal (Black-Scholes / GBM) 70.4% 35.2% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 0.0% 0.0% Filters for historical windows that started with volatility similar to current 20-day HV (15 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 54.4%
  • Recent 20-Day HV: 13.3%
  • Parkinson Intraday Volatility: 33.1%
  • Vol Trend: Compressed (-75% vs baseline)

14-Day Return Quantiles

  • Median Return: -0.4%
  • Top 10% Move (90th percentile): +14.8%
  • Bottom 10% Move (10th percentile): -13.1%
  • Max Historical Gain (14d): +46.7%
  • Max Historical Loss (14d): -34.4%