Finance

OM Move Probability $4.05 -0.16 (-3.7%)

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)
75.4%
Stock touched +5.0% ($4.25) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
38.0%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.98x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±24.9%
$3.04 — $5.06

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%.

-67.5% to -57.5%: 14 occurrences (2.8%) -62.5% -57.5% to -47.5%: 0 occurrences (0.0%) -47.5% to -37.5%: 5 occurrences (1.0%) -37.5% to -27.5%: 24 occurrences (4.7%) -32.5% -27.5% to -17.5%: 54 occurrences (10.6%) -17.5% to -7.5%: 91 occurrences (17.9%) -7.5% to +2.5%: 103 occurrences (20.3%) -2.5% +2.5% to +12.5%: 88 occurrences (17.3%) +12.5% to +22.5%: 43 occurrences (8.5%) +22.5% to +32.5%: 36 occurrences (7.1%) 27.5% +32.5% to +42.5%: 18 occurrences (3.5%) +42.5% to +52.5%: 9 occurrences (1.8%) +52.5% to +62.5%: 9 occurrences (1.8%) 57.5% +62.5% to +72.5%: 12 occurrences (2.4%) +72.5% to +82.5%: 0 occurrences (0.0%) +82.5% to +92.5%: 2 occurrences (0.4%) 87.5%
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) 75.4% 38.0% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 33.4% Adjusts normal bell curve for real-world skewness (-1.27) and kurtosis (19.83).
Standard Normal (Black-Scholes / GBM) 84.5% 42.2% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 75.5% 39.9% Filters for historical windows that started with volatility similar to current 20-day HV (343 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 105.7%
  • Recent 20-Day HV: 102.0%
  • Parkinson Intraday Volatility: 80.3%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: -0.2%
  • Top 10% Move (90th percentile): +32.2%
  • Bottom 10% Move (10th percentile): -25.5%
  • Max Historical Gain (14d): +92.5%
  • Max Historical Loss (14d): -67.5%