Finance

WGS Move Probability $56.32 -10.89 (-16.2%)

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)
27.2%
Stock touched +5.0% ($59.14) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
14.4%
Stock closed at or beyond +5.0% at the end of the 1-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%)
±6.5%
$52.68 — $59.96

Historical 1-Day Return Distribution

Frequency of rolling 1-day percentage returns over 522 historical windows (2024-09-24 to 2026-10-23). The colored bar indicates the win zone for +5.0%.

-48.8% to -42.6%: 2 occurrences (0.4%) -45.7% -42.6% to -36.5%: 0 occurrences (0.0%) -36.5% to -30.3%: 0 occurrences (0.0%) -30.3% to -24.1%: 0 occurrences (0.0%) -27.2% -24.1% to -18.0%: 0 occurrences (0.0%) -18.0% to -11.8%: 2 occurrences (0.4%) -11.8% to -5.6%: 50 occurrences (9.6%) -8.7% -5.6% to +0.5%: 233 occurrences (44.6%) +0.5% to +6.7%: 194 occurrences (37.2%) +6.7% to +12.9%: 33 occurrences (6.3%) 9.8% +12.9% to +19.1%: 5 occurrences (1.0%) +19.1% to +25.2%: 1 occurrences (0.2%) +25.2% to +31.4%: 0 occurrences (0.0%) 28.3% +31.4% to +37.6%: 0 occurrences (0.0%) +37.6% to +43.7%: 0 occurrences (0.0%) +43.7% to +49.9%: 2 occurrences (0.4%) 46.8%
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) 27.2% 14.4% Model-free reality across 522 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 0.2% Adjusts normal bell curve for real-world skewness (-2.49) and kurtosis (36.65).
Standard Normal (Black-Scholes / GBM) 45.0% 22.5% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 29.6% 15.3% Filters for historical windows that started with volatility similar to current 20-day HV (274 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 102.5%
  • Recent 20-Day HV: 95.5%
  • Parkinson Intraday Volatility: 66.8%
  • Vol Trend: Normal / Consistent

1-Day Return Quantiles

  • Median Return: -0.0%
  • Top 10% Move (90th percentile): +5.9%
  • Bottom 10% Move (10th percentile): -5.7%
  • Max Historical Gain (1d): +49.9%
  • Max Historical Loss (1d): -48.8%