Finance

PGOL Move Probability $0.04 -0.01 (-10.0%)

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)
65.2%
Stock touched +5.0% ($0.05) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
34.6%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.89x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±39.3%
$0.03 — $0.06

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 486 historical windows (2024-10-22 to 2026-10-20). The colored bar indicates the win zone for +5.0%.

-48.4% to -36.6%: 21 occurrences (4.3%) -42.5% -36.6% to -24.9%: 33 occurrences (6.8%) -24.9% to -13.1%: 92 occurrences (18.9%) -13.1% to -1.3%: 118 occurrences (24.3%) -7.2% -1.3% to +10.5%: 72 occurrences (14.8%) +10.5% to +22.2%: 47 occurrences (9.7%) +22.2% to +34.0%: 35 occurrences (7.2%) 28.1% +34.0% to +45.8%: 21 occurrences (4.3%) +45.8% to +57.6%: 19 occurrences (3.9%) +57.6% to +69.3%: 7 occurrences (1.4%) 63.5% +69.3% to +81.1%: 11 occurrences (2.3%) +81.1% to +92.9%: 3 occurrences (0.6%) +92.9% to +104.7%: 4 occurrences (0.8%) 98.8% +104.7% to +116.4%: 1 occurrences (0.2%) +116.4% to +128.2%: 1 occurrences (0.2%) +128.2% to +140.0%: 1 occurrences (0.2%) 134.1%
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) 65.2% 34.6% Model-free reality across 486 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 36.1% Adjusts normal bell curve for real-world skewness (0.05) and kurtosis (14.57).
Standard Normal (Black-Scholes / GBM) 90.1% 45.1% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 59.8% 30.8% Filters for historical windows that started with volatility similar to current 20-day HV (117 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 166.7%
  • Recent 20-Day HV: 76.5%
  • Parkinson Intraday Volatility: 224.8%
  • Vol Trend: Compressed (-54% vs baseline)

14-Day Return Quantiles

  • Median Return: -3.9%
  • Top 10% Move (90th percentile): +44.8%
  • Bottom 10% Move (10th percentile): -26.1%
  • Max Historical Gain (14d): +140.0%
  • Max Historical Loss (14d): -48.4%