Finance

ORCU Move Probability $7.10 +0.55 (+8.4%)

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)
58.8%
Stock touched +5.0% ($7.46) at least once during 3 trading days.
Median first touch: Day 1 of 3
Expiration Close Probability
31.2%
Stock closed at or beyond +5.0% at the end of the 3-day window.
The Touch Multiple
1.88x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±12.9%
$6.19 — $8.01

Historical 3-Day Return Distribution

Frequency of rolling 3-day percentage returns over 221 historical windows (2025-11-20 to 2026-10-13). The colored bar indicates the win zone for +5.0%.

-32.8% to -26.7%: 4 occurrences (1.8%) -29.8% -26.7% to -20.6%: 6 occurrences (2.7%) -20.6% to -14.5%: 21 occurrences (9.5%) -14.5% to -8.4%: 36 occurrences (16.3%) -11.4% -8.4% to -2.3%: 41 occurrences (18.6%) -2.3% to +3.8%: 39 occurrences (17.6%) +3.8% to +9.9%: 33 occurrences (14.9%) 6.9% +9.9% to +16.0%: 21 occurrences (9.5%) +16.0% to +22.2%: 5 occurrences (2.3%) +22.2% to +28.3%: 5 occurrences (2.3%) 25.2% +28.3% to +34.4%: 3 occurrences (1.4%) +34.4% to +40.5%: 3 occurrences (1.4%) +40.5% to +46.6%: 2 occurrences (0.9%) 43.5% +46.6% to +52.7%: 1 occurrences (0.5%) +52.7% to +58.8%: 0 occurrences (0.0%) +58.8% to +64.9%: 1 occurrences (0.5%) 61.9%
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) 58.8% 31.2% Model-free reality across 221 historical 3-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 33.8% Adjusts normal bell curve for real-world skewness (0.07) and kurtosis (0.66).
Standard Normal (Black-Scholes / GBM) 70.5% 35.2% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 59.5% 34.6% Filters for historical windows that started with volatility similar to current 20-day HV (153 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 118.1%
  • Recent 20-Day HV: 97.2%
  • Parkinson Intraday Volatility: 76.8%
  • Vol Trend: Compressed (-18% vs baseline)

3-Day Return Quantiles

  • Median Return: -2.0%
  • Top 10% Move (90th percentile): +15.5%
  • Bottom 10% Move (10th percentile): -16.2%
  • Max Historical Gain (3d): +64.9%
  • Max Historical Loss (3d): -32.8%