Finance

ORMP Move Probability $4.13 -0.03 (-0.7%)

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)
59.4%
Stock touched +5.0% ($4.34) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
33.1%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.80x
You are 1.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±11.3%
$3.66 — $4.60

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%.

-20.0% to -16.7%: 6 occurrences (1.2%) -18.4% -16.7% to -13.5%: 11 occurrences (2.2%) -13.5% to -10.2%: 20 occurrences (3.9%) -10.2% to -6.9%: 27 occurrences (5.3%) -8.6% -6.9% to -3.6%: 57 occurrences (11.2%) -3.6% to -0.4%: 107 occurrences (21.1%) -0.4% to +2.9%: 73 occurrences (14.4%) 1.3% +2.9% to +6.2%: 58 occurrences (11.4%) +6.2% to +9.5%: 46 occurrences (9.1%) +9.5% to +12.8%: 36 occurrences (7.1%) 11.1% +12.8% to +16.0%: 24 occurrences (4.7%) +16.0% to +19.3%: 16 occurrences (3.1%) +19.3% to +22.6%: 10 occurrences (2.0%) 20.9% +22.6% to +25.9%: 7 occurrences (1.4%) +25.9% to +29.1%: 1 occurrences (0.2%) +29.1% to +32.4%: 9 occurrences (1.8%) 30.8%
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) 59.4% 33.1% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 24.1% Adjusts normal bell curve for real-world skewness (0.9) and kurtosis (3.83).
Standard Normal (Black-Scholes / GBM) 66.6% 33.3% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 66.7% 36.3% Filters for historical windows that started with volatility similar to current 20-day HV (201 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 48.0%
  • Recent 20-Day HV: 32.4%
  • Parkinson Intraday Volatility: 38.1%
  • Vol Trend: Compressed (-32% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.6%
  • Top 10% Move (90th percentile): +14.4%
  • Bottom 10% Move (10th percentile): -8.1%
  • Max Historical Gain (14d): +32.4%
  • Max Historical Loss (14d): -20.0%