Finance

GRVY Move Probability $66.62 -0.03 (-0.1%)

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)
35.6%
Stock touched +5.0% ($69.96) at least once during 14 trading days.
Median first touch: Day 6 of 14
Expiration Close Probability
23.4%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.52x
You are 1.5x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±7.1%
$61.92 — $71.33

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%.

-14.1% to -11.9%: 6 occurrences (1.2%) -13.0% -11.9% to -9.7%: 13 occurrences (2.6%) -9.7% to -7.5%: 26 occurrences (5.1%) -7.5% to -5.3%: 38 occurrences (7.5%) -6.4% -5.3% to -3.1%: 58 occurrences (11.4%) -3.1% to -0.9%: 93 occurrences (18.3%) -0.9% to +1.4%: 88 occurrences (17.3%) 0.2% +1.4% to +3.6%: 47 occurrences (9.3%) +3.6% to +5.8%: 25 occurrences (4.9%) +5.8% to +8.0%: 33 occurrences (6.5%) 6.9% +8.0% to +10.2%: 27 occurrences (5.3%) +10.2% to +12.4%: 23 occurrences (4.5%) +12.4% to +14.6%: 19 occurrences (3.7%) 13.5% +14.6% to +16.8%: 7 occurrences (1.4%) +16.8% to +19.0%: 3 occurrences (0.6%) +19.0% to +21.3%: 2 occurrences (0.4%) 20.2%
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) 35.6% 23.4% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 7.4% Adjusts normal bell curve for real-world skewness (1.8) and kurtosis (11.72).
Standard Normal (Black-Scholes / GBM) 48.9% 24.5% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 11.8% 5.9% Filters for historical windows that started with volatility similar to current 20-day HV (17 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 29.9%
  • Recent 20-Day HV: 9.3%
  • Parkinson Intraday Volatility: 13.7%
  • Vol Trend: Compressed (-69% vs baseline)

14-Day Return Quantiles

  • Median Return: -0.4%
  • Top 10% Move (90th percentile): +10.6%
  • Bottom 10% Move (10th percentile): -7.3%
  • Max Historical Gain (14d): +21.3%
  • Max Historical Loss (14d): -14.1%