The graph is based on the actual distribution of total returns on the S&P 500 index since 1925.
The vertical axis represents the frequency, or probability, of a gain or loss of a size indicated on the horizontal axis.
The entire area under the curve covers all of the possible realizations, add up to a total probability of 1.
Most of the weight is in the center of the distribution (m), 1% per month, with standard deviation (volatility) s 5.5% per month.