Finance

VFF Move Probability $2.73 +0.06 (+2.4%)

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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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
67.9%
Stock touched +5.0% ($2.87) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
35.2%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.93x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±17.8%
$2.24 — $3.22

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%.

-31.8% to -22.9%: 15 occurrences (3.0%) -27.3% -22.9% to -14.0%: 43 occurrences (8.5%) -14.0% to -5.2%: 120 occurrences (23.6%) -5.2% to +3.7%: 134 occurrences (26.4%) -0.7% +3.7% to +12.6%: 84 occurrences (16.5%) +12.6% to +21.4%: 28 occurrences (5.5%) +21.4% to +30.3%: 34 occurrences (6.7%) 25.9% +30.3% to +39.2%: 15 occurrences (3.0%) +39.2% to +48.1%: 10 occurrences (2.0%) +48.1% to +56.9%: 3 occurrences (0.6%) 52.5% +56.9% to +65.8%: 1 occurrences (0.2%) +65.8% to +74.7%: 5 occurrences (1.0%) +74.7% to +83.5%: 9 occurrences (1.8%) 79.1% +83.5% to +92.4%: 4 occurrences (0.8%) +92.4% to +101.3%: 1 occurrences (0.2%) +101.3% to +110.1%: 2 occurrences (0.4%) 105.7%
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) 67.9% 35.2% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 21.7% Adjusts normal bell curve for real-world skewness (1.54) and kurtosis (10.75).
Standard Normal (Black-Scholes / GBM) 78.4% 39.2% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 59.8% 28.6% Filters for historical windows that started with volatility similar to current 20-day HV (189 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 75.6%
  • Recent 20-Day HV: 46.4%
  • Parkinson Intraday Volatility: 55.9%
  • Vol Trend: Compressed (-39% vs baseline)

14-Day Return Quantiles

  • Median Return: -0.0%
  • Top 10% Move (90th percentile): +30.0%
  • Bottom 10% Move (10th percentile): -14.8%
  • Max Historical Gain (14d): +110.1%
  • Max Historical Loss (14d): -31.8%