Finance

ONEN Move Probability $1.37 +0.01 (+0.7%)

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)
7.8%
Stock touched +5.0% ($1.44) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
3.2%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.46x
You are 2.5x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±20.8%
$1.09 — $1.65

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 412 historical windows (2025-02-11 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-82.2% to -73.5%: 11 occurrences (2.7%) -77.8% -73.5% to -64.7%: 1 occurrences (0.2%) -64.7% to -56.0%: 2 occurrences (0.5%) -56.0% to -47.3%: 0 occurrences (0.0%) -51.7% -47.3% to -38.6%: 3 occurrences (0.7%) -38.6% to -29.9%: 4 occurrences (1.0%) -29.9% to -21.2%: 10 occurrences (2.4%) -25.6% -21.2% to -12.5%: 1 occurrences (0.2%) -12.5% to -3.8%: 3 occurrences (0.7%) -3.8% to +4.9%: 364 occurrences (88.3%) 0.6% +4.9% to +13.6%: 5 occurrences (1.2%) +13.6% to +22.3%: 3 occurrences (0.7%) +22.3% to +31.0%: 3 occurrences (0.7%) 26.7% +31.0% to +39.7%: 0 occurrences (0.0%) +39.7% to +48.5%: 1 occurrences (0.2%) +48.5% to +57.2%: 1 occurrences (0.2%) 52.8%
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) 7.8% 3.2% Model-free reality across 412 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 52.9% Adjusts normal bell curve for real-world skewness (-8.01) and kurtosis (103.97).
Standard Normal (Black-Scholes / GBM) 81.4% 40.7% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 50.0% 36.4% Filters for historical windows that started with volatility similar to current 20-day HV (22 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 88.1%
  • Recent 20-Day HV: 191.3%
  • Parkinson Intraday Volatility: 50.1%
  • Vol Trend: Expanded (+117% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.1%
  • Top 10% Move (90th percentile): +1.1%
  • Bottom 10% Move (10th percentile): -2.0%
  • Max Historical Gain (14d): +57.2%
  • Max Historical Loss (14d): -82.2%