Finance

OMER Move Probability $16.25 -0.31 (-1.9%)

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)
75.0%
Stock touched +5.0% ($17.06) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
45.3%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.66x
You are 1.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±29.8%
$11.41 — $21.08

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%.

-55.8% to -41.1%: 13 occurrences (2.6%) -48.4% -41.1% to -26.5%: 16 occurrences (3.1%) -26.5% to -11.8%: 74 occurrences (14.6%) -11.8% to +2.9%: 157 occurrences (30.9%) -4.5% +2.9% to +17.5%: 129 occurrences (25.4%) +17.5% to +32.2%: 33 occurrences (6.5%) +32.2% to +46.8%: 35 occurrences (6.9%) 39.5% +46.8% to +61.5%: 22 occurrences (4.3%) +61.5% to +76.1%: 9 occurrences (1.8%) +76.1% to +90.8%: 7 occurrences (1.4%) 83.5% +90.8% to +105.5%: 3 occurrences (0.6%) +105.5% to +120.1%: 0 occurrences (0.0%) +120.1% to +134.8%: 1 occurrences (0.2%) 127.5% +134.8% to +149.4%: 1 occurrences (0.2%) +149.4% to +164.1%: 3 occurrences (0.6%) +164.1% to +178.8%: 5 occurrences (1.0%) 171.4%
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) 75.0% 45.3% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 8.2% Adjusts normal bell curve for real-world skewness (4.08) and kurtosis (46.28).
Standard Normal (Black-Scholes / GBM) 87.0% 43.5% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 69.5% 41.6% Filters for historical windows that started with volatility similar to current 20-day HV (233 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 126.3%
  • Recent 20-Day HV: 61.4%
  • Parkinson Intraday Volatility: 76.8%
  • Vol Trend: Compressed (-51% vs baseline)

14-Day Return Quantiles

  • Median Return: +2.6%
  • Top 10% Move (90th percentile): +46.7%
  • Bottom 10% Move (10th percentile): -20.2%
  • Max Historical Gain (14d): +178.8%
  • Max Historical Loss (14d): -55.8%