Finance

OMDA Move Probability $19.66 +0.31 (+1.6%)

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)
75.0%
Stock touched +5.0% ($20.65) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
42.5%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.77x
You are 1.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±15.4%
$16.63 — $22.70

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 332 historical windows (2025-06-06 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-32.1% to -27.8%: 6 occurrences (1.8%) -30.0% -27.8% to -23.5%: 11 occurrences (3.3%) -23.5% to -19.2%: 16 occurrences (4.8%) -19.2% to -14.9%: 24 occurrences (7.2%) -17.1% -14.9% to -10.6%: 21 occurrences (6.3%) -10.6% to -6.3%: 22 occurrences (6.6%) -6.3% to -2.0%: 26 occurrences (7.8%) -4.2% -2.0% to +2.3%: 37 occurrences (11.1%) +2.3% to +6.6%: 40 occurrences (12.0%) +6.6% to +10.9%: 33 occurrences (9.9%) 8.7% +10.9% to +15.2%: 27 occurrences (8.1%) +15.2% to +19.5%: 28 occurrences (8.4%) +19.5% to +23.8%: 17 occurrences (5.1%) 21.6% +23.8% to +28.1%: 15 occurrences (4.5%) +28.1% to +32.4%: 4 occurrences (1.2%) +32.4% to +36.7%: 5 occurrences (1.5%) 34.5%
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) 75.0% 42.5% Model-free reality across 332 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 35.3% Adjusts normal bell curve for real-world skewness (-0.72) and kurtosis (5.03).
Standard Normal (Black-Scholes / GBM) 75.2% 37.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 75.1% 37.3% Filters for historical windows that started with volatility similar to current 20-day HV (201 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 65.4%
  • Recent 20-Day HV: 82.5%
  • Parkinson Intraday Volatility: 55.4%
  • Vol Trend: Expanded (+26% vs baseline)

14-Day Return Quantiles

  • Median Return: +2.5%
  • Top 10% Move (90th percentile): +21.1%
  • Bottom 10% Move (10th percentile): -18.9%
  • Max Historical Gain (14d): +36.7%
  • Max Historical Loss (14d): -32.1%