Finance

TGLS Move Probability $37.67 -0.55 (-1.4%)

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)
53.1%
Stock touched +5.0% ($39.55) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
21.5%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.48x
You are 2.5x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±9.9%
$33.94 — $41.40

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%.

-25.6% to -22.3%: 7 occurrences (1.4%) -23.9% -22.3% to -19.0%: 7 occurrences (1.4%) -19.0% to -15.7%: 2 occurrences (0.4%) -15.7% to -12.5%: 28 occurrences (5.5%) -14.1% -12.5% to -9.2%: 47 occurrences (9.3%) -9.2% to -5.9%: 66 occurrences (13.0%) -5.9% to -2.7%: 76 occurrences (15.0%) -4.3% -2.7% to +0.6%: 68 occurrences (13.4%) +0.6% to +3.9%: 71 occurrences (14.0%) +3.9% to +7.1%: 53 occurrences (10.4%) 5.5% +7.1% to +10.4%: 32 occurrences (6.3%) +10.4% to +13.7%: 29 occurrences (5.7%) +13.7% to +17.0%: 11 occurrences (2.2%) 15.3% +17.0% to +20.2%: 3 occurrences (0.6%) +20.2% to +23.5%: 6 occurrences (1.2%) +23.5% to +26.8%: 2 occurrences (0.4%) 25.1%
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) 53.1% 21.5% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 25.2% Adjusts normal bell curve for real-world skewness (0.24) and kurtosis (2.63).
Standard Normal (Black-Scholes / GBM) 62.2% 31.1% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 49.9% 15.5% Filters for historical windows that started with volatility similar to current 20-day HV (349 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 42.0%
  • Recent 20-Day HV: 34.3%
  • Parkinson Intraday Volatility: 30.8%
  • Vol Trend: Compressed (-18% vs baseline)

14-Day Return Quantiles

  • Median Return: -1.5%
  • Top 10% Move (90th percentile): +10.2%
  • Bottom 10% Move (10th percentile): -11.9%
  • Max Historical Gain (14d): +26.8%
  • Max Historical Loss (14d): -25.6%