Finance

GT Move Probability $4.30 +0.07 (+1.7%)

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)
63.6%
Stock touched +5.0% ($4.52) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
31.7%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.01x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±12.0%
$3.79 — $4.82

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%.

-28.6% to -24.9%: 3 occurrences (0.6%) -26.8% -24.9% to -21.3%: 10 occurrences (2.0%) -21.3% to -17.7%: 27 occurrences (5.3%) -17.7% to -14.1%: 43 occurrences (8.5%) -15.9% -14.1% to -10.4%: 36 occurrences (7.1%) -10.4% to -6.8%: 35 occurrences (6.9%) -6.8% to -3.2%: 39 occurrences (7.7%) -5.0% -3.2% to +0.5%: 63 occurrences (12.4%) +0.5% to +4.1%: 70 occurrences (13.8%) +4.1% to +7.7%: 67 occurrences (13.2%) 5.9% +7.7% to +11.3%: 57 occurrences (11.2%) +11.3% to +15.0%: 38 occurrences (7.5%) +15.0% to +18.6%: 14 occurrences (2.8%) 16.8% +18.6% to +22.2%: 4 occurrences (0.8%) +22.2% to +25.9%: 1 occurrences (0.2%) +25.9% to +29.5%: 1 occurrences (0.2%) 27.7%
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) 63.6% 31.7% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 24.3% Adjusts normal bell curve for real-world skewness (0.09) and kurtosis (5.79).
Standard Normal (Black-Scholes / GBM) 68.4% 34.2% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 69.8% 33.6% Filters for historical windows that started with volatility similar to current 20-day HV (268 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 50.8%
  • Recent 20-Day HV: 36.4%
  • Parkinson Intraday Volatility: 40.1%
  • Vol Trend: Compressed (-28% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.4%
  • Top 10% Move (90th percentile): +12.1%
  • Bottom 10% Move (10th percentile): -16.9%
  • Max Historical Gain (14d): +29.5%
  • Max Historical Loss (14d): -28.6%