Finance

OPAL Move Probability $1.53 +0.00 (+0.3%)

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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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
61.6%
Stock touched +5.0% ($1.61) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
27.2%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.27x
You are 2.3x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±16.6%
$1.28 — $1.79

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%.

-34.5% to -27.8%: 10 occurrences (2.0%) -31.1% -27.8% to -21.0%: 23 occurrences (4.5%) -21.0% to -14.2%: 47 occurrences (9.3%) -14.2% to -7.4%: 107 occurrences (21.1%) -10.8% -7.4% to -0.6%: 110 occurrences (21.7%) -0.6% to +6.2%: 81 occurrences (15.9%) +6.2% to +13.0%: 58 occurrences (11.4%) 9.6% +13.0% to +19.8%: 29 occurrences (5.7%) +19.8% to +26.6%: 13 occurrences (2.6%) +26.6% to +33.4%: 6 occurrences (1.2%) 30.0% +33.4% to +40.1%: 5 occurrences (1.0%) +40.1% to +46.9%: 5 occurrences (1.0%) +46.9% to +53.7%: 5 occurrences (1.0%) 50.3% +53.7% to +60.5%: 5 occurrences (1.0%) +60.5% to +67.3%: 2 occurrences (0.4%) +67.3% to +74.1%: 2 occurrences (0.4%) 70.7%
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) 61.6% 27.2% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 29.7% Adjusts normal bell curve for real-world skewness (0.83) and kurtosis (3.95).
Standard Normal (Black-Scholes / GBM) 76.9% 38.4% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 40.4% 11.1% Filters for historical windows that started with volatility similar to current 20-day HV (99 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 70.4%
  • Recent 20-Day HV: 32.8%
  • Parkinson Intraday Volatility: 54.4%
  • Vol Trend: Compressed (-53% vs baseline)

14-Day Return Quantiles

  • Median Return: -3.5%
  • Top 10% Move (90th percentile): +17.7%
  • Bottom 10% Move (10th percentile): -17.8%
  • Max Historical Gain (14d): +74.1%
  • Max Historical Loss (14d): -34.5%