Finance

VKI Move Probability $8.22 +0.02 (+0.2%)

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)
10.4%
Stock touched +5.0% ($8.63) at least once during 14 trading days.
Median first touch: Day 10 of 14
Expiration Close Probability
7.3%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.43x
You are 1.4x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±3.2%
$7.95 — $8.49

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%.

-12.6% to -11.1%: 4 occurrences (0.8%) -11.8% -11.1% to -9.6%: 6 occurrences (1.2%) -9.6% to -8.2%: 1 occurrences (0.2%) -8.2% to -6.7%: 8 occurrences (1.6%) -7.4% -6.7% to -5.3%: 21 occurrences (4.1%) -5.3% to -3.8%: 26 occurrences (5.1%) -3.8% to -2.3%: 48 occurrences (9.4%) -3.1% -2.3% to -0.9%: 72 occurrences (14.2%) -0.9% to +0.6%: 76 occurrences (15.0%) +0.6% to +2.1%: 93 occurrences (18.3%) 1.3% +2.1% to +3.5%: 91 occurrences (17.9%) +3.5% to +5.0%: 25 occurrences (4.9%) +5.0% to +6.4%: 23 occurrences (4.5%) 5.7% +6.4% to +7.9%: 10 occurrences (2.0%) +7.9% to +9.4%: 2 occurrences (0.4%) +9.4% to +10.8%: 2 occurrences (0.4%) 10.1%
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) 10.4% 7.3% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 4.8% Adjusts normal bell curve for real-world skewness (-0.11) and kurtosis (2.99).
Standard Normal (Black-Scholes / GBM) 13.1% 6.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 37.3% 19.6% Filters for historical windows that started with volatility similar to current 20-day HV (51 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 13.7%
  • Recent 20-Day HV: 29.2%
  • Parkinson Intraday Volatility: 9.7%
  • Vol Trend: Expanded (+113% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.5%
  • Top 10% Move (90th percentile): +4.2%
  • Bottom 10% Move (10th percentile): -4.6%
  • Max Historical Gain (14d): +10.8%
  • Max Historical Loss (14d): -12.6%