Finance

VGM Move Probability $9.05 -0.03 (-0.3%)

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)
4.3%
Stock touched +5.0% ($9.50) at least once during 14 trading days.
Median first touch: Day 11 of 14
Expiration Close Probability
3.9%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.10x
You are 1.1x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±2.8%
$8.80 — $9.30

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%.

-12.4% to -11.2%: 4 occurrences (0.8%) -11.8% -11.2% to -9.9%: 1 occurrences (0.2%) -9.9% to -8.7%: 5 occurrences (1.0%) -8.7% to -7.4%: 3 occurrences (0.6%) -8.0% -7.4% to -6.2%: 7 occurrences (1.4%) -6.2% to -4.9%: 11 occurrences (2.2%) -4.9% to -3.6%: 19 occurrences (3.7%) -4.3% -3.6% to -2.4%: 26 occurrences (5.1%) -2.4% to -1.1%: 64 occurrences (12.6%) -1.1% to +0.1%: 101 occurrences (19.9%) -0.5% +0.1% to +1.4%: 110 occurrences (21.7%) +1.4% to +2.7%: 90 occurrences (17.7%) +2.7% to +3.9%: 37 occurrences (7.3%) 3.3% +3.9% to +5.2%: 14 occurrences (2.8%) +5.2% to +6.4%: 13 occurrences (2.6%) +6.4% to +7.7%: 3 occurrences (0.6%) 7.1%
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) 4.3% 3.9% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 2.1% Adjusts normal bell curve for real-world skewness (-0.79) and kurtosis (5.46).
Standard Normal (Black-Scholes / GBM) 7.7% 3.9% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 8.9% 6.7% Filters for historical windows that started with volatility similar to current 20-day HV (45 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 11.7%
  • Recent 20-Day HV: 26.6%
  • Parkinson Intraday Volatility: 8.3%
  • Vol Trend: Expanded (+127% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.3%
  • Top 10% Move (90th percentile): +3.0%
  • Bottom 10% Move (10th percentile): -3.5%
  • Max Historical Gain (14d): +7.7%
  • Max Historical Loss (14d): -12.4%