Finance

OSS Move Probability $6.18 +0.11 (+1.9%)

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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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
81.1%
Stock touched +5.0% ($6.49) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
43.7%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.86x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±23.2%
$4.75 — $7.62

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%.

-36.8% to -29.3%: 14 occurrences (2.8%) -33.1% -29.3% to -21.8%: 41 occurrences (8.1%) -21.8% to -14.3%: 43 occurrences (8.5%) -14.3% to -6.9%: 68 occurrences (13.4%) -10.6% -6.9% to +0.6%: 70 occurrences (13.8%) +0.6% to +8.1%: 77 occurrences (15.2%) +8.1% to +15.6%: 62 occurrences (12.2%) 11.9% +15.6% to +23.1%: 36 occurrences (7.1%) +23.1% to +30.6%: 35 occurrences (6.9%) +30.6% to +38.1%: 9 occurrences (1.8%) 34.3% +38.1% to +45.5%: 14 occurrences (2.8%) +45.5% to +53.0%: 9 occurrences (1.8%) +53.0% to +60.5%: 12 occurrences (2.4%) 56.8% +60.5% to +68.0%: 10 occurrences (2.0%) +68.0% to +75.5%: 3 occurrences (0.6%) +75.5% to +83.0%: 5 occurrences (1.0%) 79.2%
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) 81.1% 43.7% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 30.1% Adjusts normal bell curve for real-world skewness (1.15) and kurtosis (6.45).
Standard Normal (Black-Scholes / GBM) 83.3% 41.7% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 81.3% 40.0% Filters for historical windows that started with volatility similar to current 20-day HV (150 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 98.3%
  • Recent 20-Day HV: 58.8%
  • Parkinson Intraday Volatility: 71.8%
  • Vol Trend: Compressed (-40% vs baseline)

14-Day Return Quantiles

  • Median Return: +2.0%
  • Top 10% Move (90th percentile): +38.8%
  • Bottom 10% Move (10th percentile): -22.5%
  • Max Historical Gain (14d): +83.0%
  • Max Historical Loss (14d): -36.8%