Finance

ODD Move Probability $22.56 +0.16 (+0.7%)

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)
16.1%
Stock touched +5.0% ($23.69) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
8.2%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
1.95x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±7.6%
$20.85 — $24.27

Historical 1-Day Return Distribution

Frequency of rolling 1-day percentage returns over 522 historical windows (2024-09-23 to 2026-10-22). The colored bar indicates the win zone for +5.0%.

-29.7% to -9.1%: 12 occurrences (2.3%) -19.4% -9.1% to +11.5%: 502 occurrences (96.2%) +11.5% to +32.1%: 7 occurrences (1.3%) +32.1% to +52.7%: 0 occurrences (0.0%) 42.4% +52.7% to +73.3%: 0 occurrences (0.0%) +73.3% to +93.9%: 0 occurrences (0.0%) +93.9% to +114.4%: 0 occurrences (0.0%) 104.2% +114.4% to +135.0%: 0 occurrences (0.0%) +135.0% to +155.6%: 0 occurrences (0.0%) +155.6% to +176.2%: 0 occurrences (0.0%) 165.9% +176.2% to +196.8%: 0 occurrences (0.0%) +196.8% to +217.4%: 0 occurrences (0.0%) +217.4% to +238.0%: 0 occurrences (0.0%) 227.7% +238.0% to +258.5%: 0 occurrences (0.0%) +258.5% to +279.1%: 0 occurrences (0.0%) +279.1% to +299.7%: 1 occurrences (0.2%) 289.4%
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) 16.1% 8.2% Model-free reality across 522 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 0.0% Adjusts normal bell curve for real-world skewness (11.39) and kurtosis (210.23).
Standard Normal (Black-Scholes / GBM) 52.0% 26.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 15.4% 8.3% Filters for historical windows that started with volatility similar to current 20-day HV (254 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 120.4%
  • Recent 20-Day HV: 55.8%
  • Parkinson Intraday Volatility: 53.0%
  • Vol Trend: Compressed (-54% vs baseline)

1-Day Return Quantiles

  • Median Return: +0.2%
  • Top 10% Move (90th percentile): +4.6%
  • Bottom 10% Move (10th percentile): -4.2%
  • Max Historical Gain (1d): +299.7%
  • Max Historical Loss (1d): -29.7%