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.

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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
5.6%
Stock touched +5.0% ($949.73) at least once during 2 trading days.
Median first touch: Day 2 of 2
Expiration Close Probability
3.8%
Stock closed at or beyond +5.0% at the end of the 2-day window.
The Touch Multiple
1.45x
You are 1.4x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±2.9%
$878.62 — $930.38

Historical 2-Day Return Distribution

Frequency of rolling 2-day percentage returns over 520 historical windows (2024-09-23 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-16.5% to -14.4%: 1 occurrences (0.2%) -15.5% -14.4% to -12.4%: 0 occurrences (0.0%) -12.4% to -10.3%: 0 occurrences (0.0%) -10.3% to -8.2%: 1 occurrences (0.2%) -9.2% -8.2% to -6.1%: 9 occurrences (1.7%) -6.1% to -4.1%: 20 occurrences (3.8%) -4.1% to -2.0%: 53 occurrences (10.2%) -3.0% -2.0% to +0.1%: 154 occurrences (29.6%) +0.1% to +2.1%: 167 occurrences (32.1%) +2.1% to +4.2%: 87 occurrences (16.7%) 3.2% +4.2% to +6.3%: 17 occurrences (3.3%) +6.3% to +8.3%: 7 occurrences (1.3%) +8.3% to +10.4%: 2 occurrences (0.4%) 9.4% +10.4% to +12.5%: 1 occurrences (0.2%) +12.5% to +14.5%: 0 occurrences (0.0%) +14.5% to +16.6%: 1 occurrences (0.2%) 15.6%
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) 5.6% 3.8% Model-free reality across 520 historical 2-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 5.0% Adjusts normal bell curve for real-world skewness (0.32) and kurtosis (6.04).
Standard Normal (Black-Scholes / GBM) 8.8% 4.4% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 4.8% 3.8% Filters for historical windows that started with volatility similar to current 20-day HV (210 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)

2-Day Return Quantiles

  • Median Return: +0.2%
  • Top 10% Move (90th percentile): +3.5%
  • Bottom 10% Move (10th percentile): -2.7%
  • Max Historical Gain (2d): +16.6%
  • Max Historical Loss (2d): -16.5%