Finance

GYRO Move Probability $4.88 -0.17 (-3.5%)

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)
5.9%
Stock touched +5.0% ($5.12) at least once during 14 trading days.
Median first touch: Day 7 of 14
Expiration Close Probability
5.7%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.03x
You are 1.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±8.2%
$4.48 — $5.27

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 507 historical windows (2024-09-23 to 2026-10-20). The colored bar indicates the win zone for +5.0%.

-17.1% to -13.2%: 24 occurrences (4.7%) -15.2% -13.2% to -9.4%: 22 occurrences (4.3%) -9.4% to -5.5%: 52 occurrences (10.3%) -5.5% to -1.6%: 51 occurrences (10.1%) -3.6% -1.6% to +2.2%: 325 occurrences (64.1%) +2.2% to +6.1%: 4 occurrences (0.8%) +6.1% to +10.0%: 1 occurrences (0.2%) 8.0% +10.0% to +13.8%: 6 occurrences (1.2%) +13.8% to +17.7%: 1 occurrences (0.2%) +17.7% to +21.6%: 7 occurrences (1.4%) 19.7% +21.6% to +25.5%: 1 occurrences (0.2%) +25.5% to +29.3%: 1 occurrences (0.2%) +29.3% to +33.2%: 10 occurrences (2.0%) 31.3% +33.2% to +37.1%: 1 occurrences (0.2%) +37.1% to +40.9%: 0 occurrences (0.0%) +40.9% to +44.8%: 1 occurrences (0.2%) 42.9%
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) 5.9% 5.7% Model-free reality across 507 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 0.0% Adjusts normal bell curve for real-world skewness (2.8) and kurtosis (67.38).
Standard Normal (Black-Scholes / GBM) 55.1% 27.5% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 0.0% 0.0% Filters for historical windows that started with volatility similar to current 20-day HV (64 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 34.7%
  • Recent 20-Day HV: 12.5%
  • Parkinson Intraday Volatility: 4.5%
  • Vol Trend: Compressed (-64% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.0%
  • Top 10% Move (90th percentile): +0.1%
  • Bottom 10% Move (10th percentile): -9.1%
  • Max Historical Gain (14d): +44.8%
  • Max Historical Loss (14d): -17.1%