Finance

OLVI Move Probability $0.22 +0.02 (+11.2%)

Real historical back-data analysis: evaluates rolling trading-day windows to determine the probability of a stock touching or closing at your target move.

← Back to OLVI Options chain →
Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
65.9%
Stock touched +5.0% ($0.23) at least once during 14 trading days.
Median first touch: Day 1 of 14
Expiration Close Probability
22.0%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
3.00x
You are 3.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±37.1%
$0.14 — $0.30

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 487 historical windows (2024-10-22 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-59.7% to -48.8%: 11 occurrences (2.3%) -54.2% -48.8% to -37.9%: 19 occurrences (3.9%) -37.9% to -27.1%: 47 occurrences (9.7%) -27.1% to -16.2%: 71 occurrences (14.6%) -21.6% -16.2% to -5.3%: 122 occurrences (25.1%) -5.3% to +5.6%: 116 occurrences (23.8%) +5.6% to +16.4%: 41 occurrences (8.4%) 11.0% +16.4% to +27.3%: 21 occurrences (4.3%) +27.3% to +38.2%: 9 occurrences (1.8%) +38.2% to +49.0%: 5 occurrences (1.0%) 43.6% +49.0% to +59.9%: 2 occurrences (0.4%) +59.9% to +70.8%: 5 occurrences (1.0%) +70.8% to +81.7%: 10 occurrences (2.1%) 76.2% +81.7% to +92.5%: 3 occurrences (0.6%) +92.5% to +103.4%: 4 occurrences (0.8%) +103.4% to +114.3%: 1 occurrences (0.2%) 108.8%
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) 65.9% 22.0% Model-free reality across 487 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 40.6% Adjusts normal bell curve for real-world skewness (0.33) and kurtosis (3.41).
Standard Normal (Black-Scholes / GBM) 89.5% 44.8% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 51.1% 18.5% Filters for historical windows that started with volatility similar to current 20-day HV (92 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 157.5%
  • Recent 20-Day HV: 87.0%
  • Parkinson Intraday Volatility: 149.6%
  • Vol Trend: Compressed (-45% vs baseline)

14-Day Return Quantiles

  • Median Return: -7.1%
  • Top 10% Move (90th percentile): +21.9%
  • Bottom 10% Move (10th percentile): -33.2%
  • Max Historical Gain (14d): +114.3%
  • Max Historical Loss (14d): -59.7%