Finance

VG Move Probability $13.76 +0.63 (+4.8%)

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)
50.1%
Stock touched +5.0% ($14.45) at least once during 3 trading days.
Median first touch: Day 1 of 3
Expiration Close Probability
28.0%
Stock closed at or beyond +5.0% at the end of the 3-day window.
The Touch Multiple
1.79x
You are 1.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±9.5%
$12.46 — $15.06

Historical 3-Day Return Distribution

Frequency of rolling 3-day percentage returns over 429 historical windows (2025-01-24 to 2026-10-13). The colored bar indicates the win zone for +5.0%.

-36.7% to -32.6%: 3 occurrences (0.7%) -34.6% -32.6% to -28.5%: 3 occurrences (0.7%) -28.5% to -24.4%: 2 occurrences (0.5%) -24.4% to -20.3%: 0 occurrences (0.0%) -22.3% -20.3% to -16.2%: 7 occurrences (1.6%) -16.2% to -12.1%: 13 occurrences (3.0%) -12.1% to -8.0%: 34 occurrences (7.9%) -10.0% -8.0% to -3.9%: 60 occurrences (14.0%) -3.9% to +0.2%: 89 occurrences (20.7%) +0.2% to +4.3%: 88 occurrences (20.5%) 2.3% +4.3% to +8.4%: 68 occurrences (15.9%) +8.4% to +12.6%: 34 occurrences (7.9%) +12.6% to +16.7%: 18 occurrences (4.2%) 14.6% +16.7% to +20.8%: 4 occurrences (0.9%) +20.8% to +24.9%: 5 occurrences (1.2%) +24.9% to +29.0%: 1 occurrences (0.2%) 26.9%
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) 50.1% 28.0% Model-free reality across 429 historical 3-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 19.2% Adjusts normal bell curve for real-world skewness (-1.58) and kurtosis (12.09).
Standard Normal (Black-Scholes / GBM) 60.6% 30.3% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 50.5% 32.6% Filters for historical windows that started with volatility similar to current 20-day HV (95 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)

3-Day Return Quantiles

  • Median Return: +0.3%
  • Top 10% Move (90th percentile): +10.1%
  • Bottom 10% Move (10th percentile): -9.3%
  • Max Historical Gain (3d): +29.0%
  • Max Historical Loss (3d): -36.7%