Finance

OXSQ Move Probability $1.29 -0.00 (-0.4%)

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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Touch Probability (First Passage)
37.8%
Stock touched +5.0% ($1.35) at least once during 14 trading days.
Median first touch: Day 6 of 14
Expiration Close Probability
20.3%
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%)
±8.1%
$1.19 — $1.39

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%.

-32.4% to -28.8%: 2 occurrences (0.4%) -30.6% -28.8% to -25.2%: 9 occurrences (1.8%) -25.2% to -21.6%: 4 occurrences (0.8%) -21.6% to -18.0%: 9 occurrences (1.8%) -19.8% -18.0% to -14.4%: 1 occurrences (0.2%) -14.4% to -10.8%: 5 occurrences (1.0%) -10.8% to -7.1%: 21 occurrences (4.1%) -9.0% -7.1% to -3.5%: 107 occurrences (21.1%) -3.5% to +0.1%: 120 occurrences (23.6%) +0.1% to +3.7%: 92 occurrences (18.1%) 1.9% +3.7% to +7.3%: 75 occurrences (14.8%) +7.3% to +10.9%: 35 occurrences (6.9%) +10.9% to +14.5%: 24 occurrences (4.7%) 12.7% +14.5% to +18.1%: 1 occurrences (0.2%) +18.1% to +21.7%: 1 occurrences (0.2%) +21.7% to +25.4%: 2 occurrences (0.4%) 23.5%
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) 37.8% 20.3% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 12.4% Adjusts normal bell curve for real-world skewness (-1.03) and kurtosis (11.23).
Standard Normal (Black-Scholes / GBM) 54.9% 27.4% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 39.8% 23.7% Filters for historical windows that started with volatility similar to current 20-day HV (186 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 34.5%
  • Recent 20-Day HV: 26.9%
  • Parkinson Intraday Volatility: 26.6%
  • Vol Trend: Compressed (-22% vs baseline)

14-Day Return Quantiles

  • Median Return: -0.8%
  • Top 10% Move (90th percentile): +8.3%
  • Bottom 10% Move (10th percentile): -7.1%
  • Max Historical Gain (14d): +25.4%
  • Max Historical Loss (14d): -32.4%