Finance

GTHP Move Probability $0.19 +0.03 (+18.8%)

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)
66.1%
Stock touched +5.0% ($0.20) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
34.1%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.94x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±38.0%
$0.12 — $0.26

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 487 historical windows (2024-10-22 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-44.4% to -32.5%: 10 occurrences (2.1%) -38.5% -32.5% to -20.6%: 36 occurrences (7.4%) -20.6% to -8.6%: 123 occurrences (25.3%) -8.6% to +3.3%: 130 occurrences (26.7%) -2.7% +3.3% to +15.2%: 93 occurrences (19.1%) +15.2% to +27.2%: 30 occurrences (6.2%) +27.2% to +39.1%: 27 occurrences (5.5%) 33.2% +39.1% to +51.1%: 15 occurrences (3.1%) +51.1% to +63.0%: 6 occurrences (1.2%) +63.0% to +74.9%: 8 occurrences (1.6%) 69.0% +74.9% to +86.9%: 2 occurrences (0.4%) +86.9% to +98.8%: 3 occurrences (0.6%) +98.8% to +110.8%: 1 occurrences (0.2%) 104.8% +110.8% to +122.7%: 1 occurrences (0.2%) +122.7% to +134.6%: 0 occurrences (0.0%) +134.6% to +146.6%: 2 occurrences (0.4%) 140.6%
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) 66.1% 34.1% Model-free reality across 487 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 43.1% Adjusts normal bell curve for real-world skewness (0.16) and kurtosis (1.21).
Standard Normal (Black-Scholes / GBM) 89.8% 44.9% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 65.8% 36.4% Filters for historical windows that started with volatility similar to current 20-day HV (313 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 161.4%
  • Recent 20-Day HV: 210.8%
  • Parkinson Intraday Volatility: 148.5%
  • Vol Trend: Expanded (+31% vs baseline)

14-Day Return Quantiles

  • Median Return: -0.8%
  • Top 10% Move (90th percentile): +33.2%
  • Bottom 10% Move (10th percentile): -20.0%
  • Max Historical Gain (14d): +146.6%
  • Max Historical Loss (14d): -44.4%