Finance

OSUR Move Probability $3.85 +0.11 (+3.1%)

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)
61.6%
Stock touched +5.0% ($4.05) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
29.1%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.11x
You are 2.1x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±12.0%
$3.39 — $4.32

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%.

-24.5% to -20.3%: 9 occurrences (1.8%) -22.4% -20.3% to -16.2%: 12 occurrences (2.4%) -16.2% to -12.0%: 36 occurrences (7.1%) -12.0% to -7.8%: 51 occurrences (10.0%) -9.9% -7.8% to -3.7%: 85 occurrences (16.7%) -3.7% to +0.5%: 76 occurrences (15.0%) +0.5% to +4.7%: 86 occurrences (16.9%) 2.6% +4.7% to +8.8%: 64 occurrences (12.6%) +8.8% to +13.0%: 38 occurrences (7.5%) +13.0% to +17.2%: 23 occurrences (4.5%) 15.1% +17.2% to +21.3%: 11 occurrences (2.2%) +21.3% to +25.5%: 4 occurrences (0.8%) +25.5% to +29.7%: 1 occurrences (0.2%) 27.6% +29.7% to +33.8%: 4 occurrences (0.8%) +33.8% to +38.0%: 5 occurrences (1.0%) +38.0% to +42.2%: 3 occurrences (0.6%) 40.1%
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) 61.6% 29.1% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 24.1% Adjusts normal bell curve for real-world skewness (-0.79) and kurtosis (9.15).
Standard Normal (Black-Scholes / GBM) 68.4% 34.2% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 59.4% 31.6% Filters for historical windows that started with volatility similar to current 20-day HV (389 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 50.9%
  • Recent 20-Day HV: 50.3%
  • Parkinson Intraday Volatility: 42.5%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: -0.5%
  • Top 10% Move (90th percentile): +12.8%
  • Bottom 10% Move (10th percentile): -13.0%
  • Max Historical Gain (14d): +42.2%
  • Max Historical Loss (14d): -24.5%