Finance

VG Move Probability $13.69 +0.56 (+4.3%)

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)
76.6%
Stock touched +5.0% ($14.37) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
38.3%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.00x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±20.4%
$10.89 — $16.49

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 418 historical windows (2025-01-24 to 2026-10-13). The colored bar indicates the win zone for +5.0%.

-46.5% to -39.6%: 4 occurrences (1.0%) -43.0% -39.6% to -32.6%: 15 occurrences (3.6%) -32.6% to -25.7%: 17 occurrences (4.1%) -25.7% to -18.7%: 24 occurrences (5.7%) -22.2% -18.7% to -11.7%: 61 occurrences (14.6%) -11.7% to -4.8%: 60 occurrences (14.4%) -4.8% to +2.2%: 55 occurrences (13.2%) -1.3% +2.2% to +9.1%: 53 occurrences (12.7%) +9.1% to +16.1%: 47 occurrences (11.2%) +16.1% to +23.0%: 23 occurrences (5.5%) 19.5% +23.0% to +30.0%: 18 occurrences (4.3%) +30.0% to +36.9%: 14 occurrences (3.3%) +36.9% to +43.9%: 12 occurrences (2.9%) 40.4% +43.9% to +50.8%: 5 occurrences (1.2%) +50.8% to +57.8%: 7 occurrences (1.7%) +57.8% to +64.7%: 3 occurrences (0.7%) 61.3%
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) 76.6% 38.3% Model-free reality across 418 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 39.7% Adjusts normal bell curve for real-world skewness (-1.58) and kurtosis (12.09).
Standard Normal (Black-Scholes / GBM) 81.1% 40.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 64.3% 36.9% Filters for historical windows that started with volatility similar to current 20-day HV (84 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 86.7%
  • Recent 20-Day HV: 45.2%
  • Parkinson Intraday Volatility: 67.4%
  • Vol Trend: Compressed (-48% vs baseline)

14-Day Return Quantiles

  • Median Return: -0.7%
  • Top 10% Move (90th percentile): +29.2%
  • Bottom 10% Move (10th percentile): -23.1%
  • Max Historical Gain (14d): +64.7%
  • Max Historical Loss (14d): -46.5%