Finance

GRPN Move Probability $16.29 -0.54 (-3.2%)

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)
71.7%
Stock touched +5.0% ($17.10) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
37.4%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.92x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±18.9%
$13.21 — $19.36

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%.

-29.2% to -21.7%: 23 occurrences (4.5%) -25.4% -21.7% to -14.1%: 60 occurrences (11.8%) -14.1% to -6.5%: 106 occurrences (20.9%) -6.5% to +1.1%: 88 occurrences (17.3%) -2.7% +1.1% to +8.6%: 85 occurrences (16.7%) +8.6% to +16.2%: 34 occurrences (6.7%) +16.2% to +23.8%: 38 occurrences (7.5%) 20.0% +23.8% to +31.4%: 24 occurrences (4.7%) +31.4% to +38.9%: 11 occurrences (2.2%) +38.9% to +46.5%: 16 occurrences (3.1%) 42.7% +46.5% to +54.1%: 8 occurrences (1.6%) +54.1% to +61.6%: 6 occurrences (1.2%) +61.6% to +69.2%: 2 occurrences (0.4%) 65.4% +69.2% to +76.8%: 4 occurrences (0.8%) +76.8% to +84.4%: 1 occurrences (0.2%) +84.4% to +91.9%: 2 occurrences (0.4%) 88.1%
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) 71.7% 37.4% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 21.1% Adjusts normal bell curve for real-world skewness (1.28) and kurtosis (12.7).
Standard Normal (Black-Scholes / GBM) 79.6% 39.8% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 67.4% 27.2% Filters for historical windows that started with volatility similar to current 20-day HV (261 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 80.0%
  • Recent 20-Day HV: 59.3%
  • Parkinson Intraday Volatility: 60.3%
  • Vol Trend: Compressed (-26% vs baseline)

14-Day Return Quantiles

  • Median Return: -1.4%
  • Top 10% Move (90th percentile): +29.1%
  • Bottom 10% Move (10th percentile): -16.6%
  • Max Historical Gain (14d): +91.9%
  • Max Historical Loss (14d): -29.2%