Finance

GSBD Move Probability $8.57 +0.03 (+0.4%)

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)
27.4%
Stock touched +5.0% ($9.00) at least once during 14 trading days.
Median first touch: Day 7 of 14
Expiration Close Probability
14.2%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.93x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±5.3%
$8.11 — $9.03

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%.

-16.1% to -14.2%: 2 occurrences (0.4%) -15.1% -14.2% to -12.2%: 5 occurrences (1.0%) -12.2% to -10.2%: 11 occurrences (2.2%) -10.2% to -8.3%: 14 occurrences (2.8%) -9.3% -8.3% to -6.3%: 20 occurrences (3.9%) -6.3% to -4.3%: 47 occurrences (9.3%) -4.3% to -2.4%: 66 occurrences (13.0%) -3.4% -2.4% to -0.4%: 81 occurrences (15.9%) -0.4% to +1.5%: 83 occurrences (16.3%) +1.5% to +3.5%: 78 occurrences (15.4%) 2.5% +3.5% to +5.5%: 40 occurrences (7.9%) +5.5% to +7.4%: 29 occurrences (5.7%) +7.4% to +9.4%: 12 occurrences (2.4%) 8.4% +9.4% to +11.4%: 9 occurrences (1.8%) +11.4% to +13.3%: 7 occurrences (1.4%) +13.3% to +15.3%: 4 occurrences (0.8%) 14.3%
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) 27.4% 14.2% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 10.6% Adjusts normal bell curve for real-world skewness (-0.06) and kurtosis (4.03).
Standard Normal (Black-Scholes / GBM) 35.9% 18.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 21.3% 10.1% Filters for historical windows that started with volatility similar to current 20-day HV (357 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 22.6%
  • Recent 20-Day HV: 19.8%
  • Parkinson Intraday Volatility: 18.6%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: -0.1%
  • Top 10% Move (90th percentile): +6.1%
  • Bottom 10% Move (10th percentile): -6.4%
  • Max Historical Gain (14d): +15.3%
  • Max Historical Loss (14d): -16.1%