Finance

ORCL Move Probability $121.69 -8.99 (-6.9%)

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)
71.5%
Stock touched -3.5% ($117.44) at least once during 10 trading days.
Median first touch: Day 2 of 10
Expiration Close Probability
40.4%
Stock closed at or beyond -3.5% at the end of the 10-day window.
The Touch Multiple
1.77x
You are 1.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±11.3%
$107.98 — $135.41

Historical 10-Day Return Distribution

Frequency of rolling 10-day percentage returns over 512 historical windows (2024-10-03 to 2026-11-02). The colored bar indicates the win zone for -3.5%.

-24.4% to -20.4%: 11 occurrences (2.1%) -22.4% -20.4% to -16.3%: 16 occurrences (3.1%) -16.3% to -12.3%: 28 occurrences (5.5%) -12.3% to -8.3%: 59 occurrences (11.5%) -10.3% -8.3% to -4.2%: 77 occurrences (15.0%) -4.2% to -0.2%: 93 occurrences (18.2%) -0.2% to +3.8%: 72 occurrences (14.1%) 1.8% +3.8% to +7.9%: 47 occurrences (9.2%) +7.9% to +11.9%: 41 occurrences (8.0%) +11.9% to +15.9%: 25 occurrences (4.9%) 13.9% +15.9% to +20.0%: 8 occurrences (1.6%) +20.0% to +24.0%: 12 occurrences (2.3%) +24.0% to +28.1%: 9 occurrences (1.8%) 26.0% +28.1% to +32.1%: 7 occurrences (1.4%) +32.1% to +36.1%: 5 occurrences (1.0%) +36.1% to +40.2%: 2 occurrences (0.4%) 38.2%
Historical returns Target move zone (-3.5%+) 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) 71.5% 40.4% Model-free reality across 512 historical 10-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 31.0% Adjusts normal bell curve for real-world skewness (1.23) and kurtosis (11.24).
Standard Normal (Black-Scholes / GBM) 75.2% 37.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 74.6% 38.5% Filters for historical windows that started with volatility similar to current 20-day HV (252 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 56.6%
  • Recent 20-Day HV: 74.6%
  • Parkinson Intraday Volatility: 39.5%
  • Vol Trend: Expanded (+32% vs baseline)

10-Day Return Quantiles

  • Median Return: -1.7%
  • Top 10% Move (90th percentile): +14.7%
  • Bottom 10% Move (10th percentile): -12.7%
  • Max Historical Gain (10d): +40.2%
  • Max Historical Loss (10d): -24.4%