Finance

VHI Move Probability $13.99 -0.38 (-2.6%)

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)
45.9%
Stock touched +5.0% ($14.69) at least once during 14 trading days.
Median first touch: Day 4 of 14
Expiration Close Probability
27.2%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.69x
You are 1.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±11.6%
$12.37 — $15.62

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%.

-36.6% to -32.7%: 2 occurrences (0.4%) -34.7% -32.7% to -28.8%: 0 occurrences (0.0%) -28.8% to -24.8%: 7 occurrences (1.4%) -24.8% to -20.9%: 5 occurrences (1.0%) -22.8% -20.9% to -16.9%: 20 occurrences (3.9%) -16.9% to -13.0%: 39 occurrences (7.7%) -13.0% to -9.0%: 47 occurrences (9.3%) -11.0% -9.0% to -5.1%: 74 occurrences (14.6%) -5.1% to -1.1%: 64 occurrences (12.6%) -1.1% to +2.8%: 86 occurrences (16.9%) 0.8% +2.8% to +6.7%: 44 occurrences (8.7%) +6.7% to +10.7%: 46 occurrences (9.1%) +10.7% to +14.6%: 31 occurrences (6.1%) 12.7% +14.6% to +18.6%: 26 occurrences (5.1%) +18.6% to +22.5%: 10 occurrences (2.0%) +22.5% to +26.5%: 7 occurrences (1.4%) 24.5%
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) 45.9% 27.2% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 22.6% Adjusts normal bell curve for real-world skewness (-1.13) and kurtosis (11.27).
Standard Normal (Black-Scholes / GBM) 67.4% 33.7% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 38.2% 17.9% Filters for historical windows that started with volatility similar to current 20-day HV (173 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 49.3%
  • Recent 20-Day HV: 27.8%
  • Parkinson Intraday Volatility: 14.1%
  • Vol Trend: Compressed (-44% vs baseline)

14-Day Return Quantiles

  • Median Return: -1.2%
  • Top 10% Move (90th percentile): +12.7%
  • Bottom 10% Move (10th percentile): -15.6%
  • Max Historical Gain (14d): +26.5%
  • Max Historical Loss (14d): -36.6%