Finance

GWRS Move Probability $7.66 -0.13 (-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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Touch Probability (First Passage)
37.8%
Stock touched +5.0% ($8.04) at least once during 14 trading days.
Median first touch: Day 6 of 14
Expiration Close Probability
11.8%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
3.20x
You are 3.2x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±7.8%
$7.06 — $8.25

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%.

-19.3% to -16.3%: 11 occurrences (2.2%) -17.8% -16.3% to -13.3%: 13 occurrences (2.6%) -13.3% to -10.3%: 19 occurrences (3.7%) -10.3% to -7.3%: 30 occurrences (5.9%) -8.8% -7.3% to -4.4%: 57 occurrences (11.2%) -4.4% to -1.4%: 73 occurrences (14.4%) -1.4% to +1.6%: 126 occurrences (24.8%) 0.1% +1.6% to +4.6%: 108 occurrences (21.3%) +4.6% to +7.6%: 46 occurrences (9.1%) +7.6% to +10.6%: 11 occurrences (2.2%) 9.1% +10.6% to +13.6%: 0 occurrences (0.0%) +13.6% to +16.6%: 0 occurrences (0.0%) +16.6% to +19.6%: 4 occurrences (0.8%) 18.1% +19.6% to +22.5%: 3 occurrences (0.6%) +22.5% to +25.5%: 5 occurrences (1.0%) +25.5% to +28.5%: 2 occurrences (0.4%) 27.0%
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) 37.8% 11.8% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 7.3% Adjusts normal bell curve for real-world skewness (0.11) and kurtosis (11.89).
Standard Normal (Black-Scholes / GBM) 52.9% 26.5% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 39.1% 16.0% Filters for historical windows that started with volatility similar to current 20-day HV (307 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 32.9%
  • Recent 20-Day HV: 22.7%
  • Parkinson Intraday Volatility: 19.7%
  • Vol Trend: Compressed (-31% vs baseline)

14-Day Return Quantiles

  • Median Return: -0.1%
  • Top 10% Move (90th percentile): +5.2%
  • Bottom 10% Move (10th percentile): -9.2%
  • Max Historical Gain (14d): +28.5%
  • Max Historical Loss (14d): -19.3%