Finance

OCS Move Probability $7.91 +0.43 (+5.8%)

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)
55.1%
Stock touched +5.0% ($8.30) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
36.0%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.53x
You are 1.5x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±14.2%
$6.78 — $9.03

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%.

-64.4% to -58.0%: 11 occurrences (2.2%) -61.2% -58.0% to -51.7%: 2 occurrences (0.4%) -51.7% to -45.4%: 1 occurrences (0.2%) -45.4% to -39.0%: 0 occurrences (0.0%) -42.2% -39.0% to -32.7%: 0 occurrences (0.0%) -32.7% to -26.3%: 1 occurrences (0.2%) -26.3% to -20.0%: 16 occurrences (3.1%) -23.2% -20.0% to -13.6%: 34 occurrences (6.7%) -13.6% to -7.3%: 67 occurrences (13.2%) -7.3% to -1.0%: 96 occurrences (18.9%) -4.1% -1.0% to +5.4%: 104 occurrences (20.5%) +5.4% to +11.7%: 71 occurrences (14.0%) +11.7% to +18.1%: 43 occurrences (8.5%) 14.9% +18.1% to +24.4%: 34 occurrences (6.7%) +24.4% to +30.8%: 13 occurrences (2.6%) +30.8% to +37.1%: 15 occurrences (3.0%) 33.9%
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) 55.1% 36.0% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 19.3% Adjusts normal bell curve for real-world skewness (-3.48) and kurtosis (38.32).
Standard Normal (Black-Scholes / GBM) 73.1% 36.5% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 59.8% 39.2% Filters for historical windows that started with volatility similar to current 20-day HV (301 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 60.1%
  • Recent 20-Day HV: 51.7%
  • Parkinson Intraday Volatility: 35.9%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: +0.6%
  • Top 10% Move (90th percentile): +20.9%
  • Bottom 10% Move (10th percentile): -16.9%
  • Max Historical Gain (14d): +37.1%
  • Max Historical Loss (14d): -64.4%