Finance

GS Move Probability $904.50 +19.79 (+2.2%)

Real historical back-data analysis: evaluates rolling trading-day windows to determine the probability of a stock touching or closing at your target move.

← Back to GS Options chain →
Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
51.8%
Stock touched +5.0% ($949.73) at least once during 14 trading days.
Median first touch: Day 6 of 14
Expiration Close Probability
35.0%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.48x
You are 1.5x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±7.6%
$836.02 — $972.98

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%.

-20.6% to -18.1%: 2 occurrences (0.4%) -19.3% -18.1% to -15.6%: 4 occurrences (0.8%) -15.6% to -13.2%: 6 occurrences (1.2%) -13.2% to -10.7%: 13 occurrences (2.6%) -11.9% -10.7% to -8.3%: 21 occurrences (4.1%) -8.3% to -5.8%: 24 occurrences (4.7%) -5.8% to -3.3%: 37 occurrences (7.3%) -4.6% -3.3% to -0.9%: 53 occurrences (10.4%) -0.9% to +1.6%: 84 occurrences (16.5%) +1.6% to +4.0%: 70 occurrences (13.8%) 2.8% +4.0% to +6.5%: 51 occurrences (10.0%) +6.5% to +9.0%: 51 occurrences (10.0%) +9.0% to +11.4%: 39 occurrences (7.7%) 10.2% +11.4% to +13.9%: 32 occurrences (6.3%) +13.9% to +16.3%: 16 occurrences (3.1%) +16.3% to +18.8%: 5 occurrences (1.0%) 17.6%
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) 51.8% 35.0% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 13.9% Adjusts normal bell curve for real-world skewness (0.32) and kurtosis (6.04).
Standard Normal (Black-Scholes / GBM) 51.9% 26.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 52.5% 41.4% Filters for historical windows that started with volatility similar to current 20-day HV (198 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 32.1%
  • Recent 20-Day HV: 19.2%
  • Parkinson Intraday Volatility: 25.5%
  • Vol Trend: Compressed (-40% vs baseline)

14-Day Return Quantiles

  • Median Return: +1.9%
  • Top 10% Move (90th percentile): +11.5%
  • Bottom 10% Move (10th percentile): -7.6%
  • Max Historical Gain (14d): +18.8%
  • Max Historical Loss (14d): -20.6%