Finance

GSM Move Probability $4.21 +0.06 (+1.4%)

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)
68.1%
Stock touched +5.0% ($4.42) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
32.9%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.07x
You are 2.1x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±12.7%
$3.67 — $4.74

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%.

-28.2% to -24.1%: 5 occurrences (1.0%) -26.2% -24.1% to -20.0%: 9 occurrences (1.8%) -20.0% to -15.9%: 18 occurrences (3.5%) -15.9% to -11.9%: 39 occurrences (7.7%) -13.9% -11.9% to -7.8%: 45 occurrences (8.9%) -7.8% to -3.7%: 69 occurrences (13.6%) -3.7% to +0.4%: 66 occurrences (13.0%) -1.6% +0.4% to +4.5%: 85 occurrences (16.7%) +4.5% to +8.6%: 72 occurrences (14.2%) +8.6% to +12.7%: 37 occurrences (7.3%) 10.7% +12.7% to +16.8%: 21 occurrences (4.1%) +16.8% to +20.9%: 13 occurrences (2.6%) +20.9% to +25.0%: 12 occurrences (2.4%) 22.9% +25.0% to +29.1%: 10 occurrences (2.0%) +29.1% to +33.2%: 4 occurrences (0.8%) +33.2% to +37.3%: 3 occurrences (0.6%) 35.2%
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) 68.1% 32.9% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 27.1% Adjusts normal bell curve for real-world skewness (0.37) and kurtosis (3.89).
Standard Normal (Black-Scholes / GBM) 70.0% 35.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 70.0% 34.3% Filters for historical windows that started with volatility similar to current 20-day HV (370 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 53.8%
  • Recent 20-Day HV: 49.1%
  • Parkinson Intraday Volatility: 45.1%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: +0.7%
  • Top 10% Move (90th percentile): +13.7%
  • Bottom 10% Move (10th percentile): -13.5%
  • Max Historical Gain (14d): +37.3%
  • Max Historical Loss (14d): -28.2%