Finance

ORCL Move Probability $129.09 -1.91 (-1.5%)

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)
20.4%
Stock touched +5.0% ($135.54) at least once during 2 trading days.
Median first touch: Day 2 of 2
Expiration Close Probability
10.6%
Stock closed at or beyond +5.0% at the end of the 2-day window.
The Touch Multiple
1.93x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±5.0%
$122.69 — $135.49

Historical 2-Day Return Distribution

Frequency of rolling 2-day percentage returns over 520 historical windows (2024-09-23 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-15.1% to -11.8%: 4 occurrences (0.8%) -13.5% -11.8% to -8.5%: 15 occurrences (2.9%) -8.5% to -5.2%: 45 occurrences (8.7%) -5.2% to -1.9%: 100 occurrences (19.2%) -3.6% -1.9% to +1.4%: 172 occurrences (33.1%) +1.4% to +4.7%: 119 occurrences (22.9%) +4.7% to +8.0%: 36 occurrences (6.9%) 6.3% +8.0% to +11.3%: 16 occurrences (3.1%) +11.3% to +14.6%: 6 occurrences (1.2%) +14.6% to +17.9%: 1 occurrences (0.2%) 16.2% +17.9% to +21.2%: 2 occurrences (0.4%) +21.2% to +24.5%: 2 occurrences (0.4%) +24.5% to +27.8%: 1 occurrences (0.2%) 26.1% +27.8% to +31.1%: 0 occurrences (0.0%) +31.1% to +34.4%: 0 occurrences (0.0%) +34.4% to +37.7%: 1 occurrences (0.2%) 36.0%
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) 20.4% 10.6% Model-free reality across 520 historical 2-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 3.2% Adjusts normal bell curve for real-world skewness (1.27) and kurtosis (12.02).
Standard Normal (Black-Scholes / GBM) 32.5% 16.2% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 23.7% 12.0% Filters for historical windows that started with volatility similar to current 20-day HV (358 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 55.6%
  • Recent 20-Day HV: 57.6%
  • Parkinson Intraday Volatility: 38.8%
  • Vol Trend: Normal / Consistent

2-Day Return Quantiles

  • Median Return: -0.3%
  • Top 10% Move (90th percentile): +5.2%
  • Bottom 10% Move (10th percentile): -5.5%
  • Max Historical Gain (2d): +37.7%
  • Max Historical Loss (2d): -15.1%