Finance

OFRM Move Probability $15.98 -1.23 (-7.2%)

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)
62.8%
Stock touched +5.0% ($16.78) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
28.0%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.24x
You are 2.2x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±14.6%
$13.65 — $18.32

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 164 historical windows (2026-02-06 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-32.2% to -27.5%: 5 occurrences (3.0%) -29.9% -27.5% to -22.8%: 7 occurrences (4.3%) -22.8% to -18.1%: 10 occurrences (6.1%) -18.1% to -13.4%: 6 occurrences (3.7%) -15.8% -13.4% to -8.7%: 14 occurrences (8.5%) -8.7% to -4.0%: 32 occurrences (19.5%) -4.0% to +0.7%: 31 occurrences (18.9%) -1.7% +0.7% to +5.4%: 15 occurrences (9.1%) +5.4% to +10.1%: 17 occurrences (10.4%) +10.1% to +14.8%: 8 occurrences (4.9%) 12.4% +14.8% to +19.5%: 6 occurrences (3.7%) +19.5% to +24.2%: 1 occurrences (0.6%) +24.2% to +28.9%: 6 occurrences (3.7%) 26.5% +28.9% to +33.6%: 1 occurrences (0.6%) +33.6% to +38.3%: 3 occurrences (1.8%) +38.3% to +43.0%: 2 occurrences (1.2%) 40.6%
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) 62.8% 28.0% Model-free reality across 164 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 38.6% Adjusts normal bell curve for real-world skewness (-0.53) and kurtosis (1.16).
Standard Normal (Black-Scholes / GBM) 73.8% 36.9% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 61.0% 29.3% Filters for historical windows that started with volatility similar to current 20-day HV (82 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 62.0%
  • Recent 20-Day HV: 45.5%
  • Parkinson Intraday Volatility: 56.6%
  • Vol Trend: Compressed (-27% vs baseline)

14-Day Return Quantiles

  • Median Return: -3.1%
  • Top 10% Move (90th percentile): +15.2%
  • Bottom 10% Move (10th percentile): -20.7%
  • Max Historical Gain (14d): +43.0%
  • Max Historical Loss (14d): -32.2%