Finance

ORBT Move Probability $2.60 +0.10 (+4.0%)

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)
44.4%
Stock touched +5.0% ($2.73) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
22.2%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.00x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±20.9%
$2.06 — $3.14

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 487 historical windows (2024-10-22 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-56.2% to -43.9%: 5 occurrences (1.0%) -50.0% -43.9% to -31.7%: 7 occurrences (1.4%) -31.7% to -19.5%: 30 occurrences (6.2%) -19.5% to -7.3%: 108 occurrences (22.2%) -13.4% -7.3% to +4.9%: 229 occurrences (47.0%) +4.9% to +17.2%: 46 occurrences (9.4%) +17.2% to +29.4%: 26 occurrences (5.3%) 23.3% +29.4% to +41.6%: 11 occurrences (2.3%) +41.6% to +53.8%: 5 occurrences (1.0%) +53.8% to +66.1%: 11 occurrences (2.3%) 59.9% +66.1% to +78.3%: 3 occurrences (0.6%) +78.3% to +90.5%: 2 occurrences (0.4%) +90.5% to +102.7%: 2 occurrences (0.4%) 96.6% +102.7% to +114.9%: 0 occurrences (0.0%) +114.9% to +127.2%: 0 occurrences (0.0%) +127.2% to +139.4%: 2 occurrences (0.4%) 133.3%
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) 44.4% 22.2% Model-free reality across 487 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 8.6% Adjusts normal bell curve for real-world skewness (3.21) and kurtosis (33.27).
Standard Normal (Black-Scholes / GBM) 81.6% 40.8% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 51.8% 28.2% Filters for historical windows that started with volatility similar to current 20-day HV (170 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 88.8%
  • Recent 20-Day HV: 57.3%
  • Parkinson Intraday Volatility: 77.3%
  • Vol Trend: Compressed (-35% vs baseline)

14-Day Return Quantiles

  • Median Return: -1.7%
  • Top 10% Move (90th percentile): +23.1%
  • Bottom 10% Move (10th percentile): -17.6%
  • Max Historical Gain (14d): +139.4%
  • Max Historical Loss (14d): -56.2%