Finance

VCEL Move Probability $40.96 +0.39 (+1.0%)

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)
56.3%
Stock touched +5.0% ($43.01) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
24.6%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.29x
You are 2.3x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±10.7%
$36.58 — $45.34

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%.

-18.4% to -15.0%: 11 occurrences (2.2%) -16.7% -15.0% to -11.7%: 29 occurrences (5.7%) -11.7% to -8.3%: 52 occurrences (10.2%) -8.3% to -4.9%: 62 occurrences (12.2%) -6.6% -4.9% to -1.5%: 72 occurrences (14.2%) -1.5% to +1.9%: 85 occurrences (16.7%) +1.9% to +5.3%: 73 occurrences (14.4%) 3.6% +5.3% to +8.6%: 50 occurrences (9.8%) +8.6% to +12.0%: 21 occurrences (4.1%) +12.0% to +15.4%: 19 occurrences (3.7%) 13.7% +15.4% to +18.8%: 8 occurrences (1.6%) +18.8% to +22.2%: 10 occurrences (2.0%) +22.2% to +25.6%: 6 occurrences (1.2%) 23.9% +25.6% to +28.9%: 3 occurrences (0.6%) +28.9% to +32.3%: 5 occurrences (1.0%) +32.3% to +35.7%: 2 occurrences (0.4%) 34.0%
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) 56.3% 24.6% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 28.3% Adjusts normal bell curve for real-world skewness (-0.01) and kurtosis (2.22).
Standard Normal (Black-Scholes / GBM) 64.8% 32.4% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 46.1% 13.2% Filters for historical windows that started with volatility similar to current 20-day HV (76 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 45.4%
  • Recent 20-Day HV: 23.9%
  • Parkinson Intraday Volatility: 37.0%
  • Vol Trend: Compressed (-47% vs baseline)

14-Day Return Quantiles

  • Median Return: -0.6%
  • Top 10% Move (90th percentile): +12.2%
  • Bottom 10% Move (10th percentile): -10.8%
  • Max Historical Gain (14d): +35.7%
  • Max Historical Loss (14d): -18.4%