Finance

VIRT Move Probability $57.02 -0.05 (-0.1%)

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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Touch Probability (First Passage)
58.5%
Stock touched +5.0% ($59.87) at least once during 14 trading days.
Median first touch: Day 5 of 14
Expiration Close Probability
34.8%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.68x
You are 1.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±8.1%
$52.37 — $61.66

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%.

-18.1% to -15.3%: 10 occurrences (2.0%) -16.7% -15.3% to -12.4%: 11 occurrences (2.2%) -12.4% to -9.5%: 11 occurrences (2.2%) -9.5% to -6.6%: 23 occurrences (4.5%) -8.1% -6.6% to -3.7%: 60 occurrences (11.8%) -3.7% to -0.9%: 77 occurrences (15.2%) -0.9% to +2.0%: 75 occurrences (14.8%) 0.6% +2.0% to +4.9%: 62 occurrences (12.2%) +4.9% to +7.8%: 57 occurrences (11.2%) +7.8% to +10.7%: 57 occurrences (11.2%) 9.2% +10.7% to +13.5%: 19 occurrences (3.7%) +13.5% to +16.4%: 16 occurrences (3.1%) +16.4% to +19.3%: 15 occurrences (3.0%) 17.9% +19.3% to +22.2%: 6 occurrences (1.2%) +22.2% to +25.1%: 6 occurrences (1.2%) +25.1% to +27.9%: 3 occurrences (0.6%) 26.5%
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) 58.5% 34.8% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 22.9% Adjusts normal bell curve for real-world skewness (0.05) and kurtosis (2.1).
Standard Normal (Black-Scholes / GBM) 54.9% 27.5% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 66.0% 38.6% Filters for historical windows that started with volatility similar to current 20-day HV (285 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 34.6%
  • Recent 20-Day HV: 45.1%
  • Parkinson Intraday Volatility: 29.3%
  • Vol Trend: Expanded (+30% vs baseline)

14-Day Return Quantiles

  • Median Return: +1.5%
  • Top 10% Move (90th percentile): +12.5%
  • Bottom 10% Move (10th percentile): -6.8%
  • Max Historical Gain (14d): +27.9%
  • Max Historical Loss (14d): -18.1%