Finance

V Move Probability $407.83 +0.93 (+0.2%)

Real historical back-data analysis: evaluates rolling trading-day windows to determine the probability of a stock touching or closing at your target move.

← Back to V Options chain →
Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
2.1%
Stock touched +5.0% ($428.22) at least once during 2 trading days.
Median first touch: Day 2 of 2
Expiration Close Probability
1.5%
Stock closed at or beyond +5.0% at the end of the 2-day window.
The Touch Multiple
1.38x
You are 1.4x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±2.0%
$399.71 — $415.95

Historical 2-Day Return Distribution

Frequency of rolling 2-day percentage returns over 520 historical windows (2024-09-23 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-9.7% to -8.6%: 1 occurrences (0.2%) -9.1% -8.6% to -7.5%: 1 occurrences (0.2%) -7.5% to -6.4%: 1 occurrences (0.2%) -6.4% to -5.2%: 3 occurrences (0.6%) -5.8% -5.2% to -4.1%: 4 occurrences (0.8%) -4.1% to -3.0%: 9 occurrences (1.7%) -3.0% to -1.9%: 40 occurrences (7.7%) -2.5% -1.9% to -0.8%: 80 occurrences (15.4%) -0.8% to +0.3%: 131 occurrences (25.2%) +0.3% to +1.4%: 144 occurrences (27.7%) 0.9% +1.4% to +2.6%: 65 occurrences (12.5%) +2.6% to +3.7%: 27 occurrences (5.2%) +3.7% to +4.8%: 6 occurrences (1.2%) 4.2% +4.8% to +5.9%: 4 occurrences (0.8%) +5.9% to +7.0%: 3 occurrences (0.6%) +7.0% to +8.1%: 1 occurrences (0.2%) 7.6%
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) 2.1% 1.5% Model-free reality across 520 historical 2-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 32.8% Adjusts normal bell curve for real-world skewness (-0.02) and kurtosis (6.58).
Standard Normal (Black-Scholes / GBM) 1.4% 0.7% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 2.0% 1.5% Filters for historical windows that started with volatility similar to current 20-day HV (399 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 22.3%
  • Recent 20-Day HV: 18.3%
  • Parkinson Intraday Volatility: 18.4%
  • Vol Trend: Compressed (-18% vs baseline)

2-Day Return Quantiles

  • Median Return: +0.3%
  • Top 10% Move (90th percentile): +2.2%
  • Bottom 10% Move (10th percentile): -2.0%
  • Max Historical Gain (2d): +8.1%
  • Max Historical Loss (2d): -9.7%