Finance

OMEX Move Probability $0.59 -0.05 (-8.3%)

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)
75.4%
Stock touched +5.0% ($0.62) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
33.1%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.28x
You are 2.3x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±39.0%
$0.36 — $0.82

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%.

-83.4% to -69.5%: 9 occurrences (1.8%) -76.5% -69.5% to -55.6%: 3 occurrences (0.6%) -55.6% to -41.7%: 15 occurrences (3.0%) -41.7% to -27.8%: 36 occurrences (7.1%) -34.8% -27.8% to -14.0%: 115 occurrences (22.6%) -14.0% to -0.1%: 126 occurrences (24.8%) -0.1% to +13.8%: 84 occurrences (16.5%) 6.9% +13.8% to +27.7%: 49 occurrences (9.6%) +27.7% to +41.6%: 33 occurrences (6.5%) +41.6% to +55.5%: 10 occurrences (2.0%) 48.6% +55.5% to +69.4%: 8 occurrences (1.6%) +69.4% to +83.3%: 6 occurrences (1.2%) +83.3% to +97.2%: 8 occurrences (1.6%) 90.2% +97.2% to +111.1%: 2 occurrences (0.4%) +111.1% to +124.9%: 3 occurrences (0.6%) +124.9% to +138.8%: 1 occurrences (0.2%) 131.9%
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% 33.1% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 41.6% Adjusts normal bell curve for real-world skewness (-3.74) and kurtosis (60.55).
Standard Normal (Black-Scholes / GBM) 90.0% 45.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 68.5% 19.2% Filters for historical windows that started with volatility similar to current 20-day HV (146 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 165.4%
  • Recent 20-Day HV: 60.9%
  • Parkinson Intraday Volatility: 109.6%
  • Vol Trend: Compressed (-63% vs baseline)

14-Day Return Quantiles

  • Median Return: -5.9%
  • Top 10% Move (90th percentile): +33.8%
  • Bottom 10% Move (10th percentile): -29.9%
  • Max Historical Gain (14d): +138.8%
  • Max Historical Loss (14d): -83.4%