Finance

KVAC Move Probability $11.82 +0.00 (+0.0%)

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)
1.3%
Stock touched +5.0% ($12.41) at least once during 14 trading days.
Median first touch: Day 12 of 14
Expiration Close Probability
1.3%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.00x
You are 1.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±0.9%
$11.72 — $11.92

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 451 historical windows (2024-09-23 to 2026-07-31). The colored bar indicates the win zone for +5.0%.

-0.4% to -0.0%: 14 occurrences (3.1%) -0.2% -0.0% to +0.3%: 338 occurrences (74.9%) +0.3% to +0.7%: 30 occurrences (6.7%) +0.7% to +1.0%: 46 occurrences (10.2%) 0.8% +1.0% to +1.3%: 9 occurrences (2.0%) +1.3% to +1.7%: 0 occurrences (0.0%) +1.7% to +2.0%: 0 occurrences (0.0%) 1.8% +2.0% to +2.4%: 0 occurrences (0.0%) +2.4% to +2.7%: 0 occurrences (0.0%) +2.7% to +3.0%: 0 occurrences (0.0%) 2.9% +3.0% to +3.4%: 0 occurrences (0.0%) +3.4% to +3.7%: 0 occurrences (0.0%) +3.7% to +4.1%: 0 occurrences (0.0%) 3.9% +4.1% to +4.4%: 0 occurrences (0.0%) +4.4% to +4.7%: 0 occurrences (0.0%) +4.7% to +5.1%: 14 occurrences (3.1%) 4.9%
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) 1.3% 1.3% Model-free reality across 451 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 0.0% Adjusts normal bell curve for real-world skewness (18.39) and kurtosis (367.23).
Standard Normal (Black-Scholes / GBM) 0.0% 0.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 2.3% 2.3% Filters for historical windows that started with volatility similar to current 20-day HV (258 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 3.7%
  • Recent 20-Day HV: 0.0%
  • Parkinson Intraday Volatility: 0.1%
  • Vol Trend: Compressed (-100% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.0%
  • Top 10% Move (90th percentile): +0.9%
  • Bottom 10% Move (10th percentile): +0.0%
  • Max Historical Gain (14d): +5.1%
  • Max Historical Loss (14d): -0.4%