Finance

VLN Move Probability $1.61 +0.02 (+0.9%)

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)
70.3%
Stock touched +5.0% ($1.69) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
33.1%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.12x
You are 2.1x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±42.8%
$0.92 — $2.30

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%.

-32.8% to +144.3%: 493 occurrences (97.0%) 55.7% +144.3% to +321.4%: 1 occurrences (0.2%) +321.4% to +498.5%: 0 occurrences (0.0%) +498.5% to +675.7%: 0 occurrences (0.0%) 587.1% +675.7% to +852.8%: 0 occurrences (0.0%) +852.8% to +1029.9%: 0 occurrences (0.0%) +1029.9% to +1207.0%: 1 occurrences (0.2%) 1118.5% +1207.0% to +1384.2%: 4 occurrences (0.8%) +1384.2% to +1561.3%: 0 occurrences (0.0%) +1561.3% to +1738.4%: 1 occurrences (0.2%) 1649.8% +1738.4% to +1915.5%: 3 occurrences (0.6%) +1915.5% to +2092.6%: 1 occurrences (0.2%) +2092.6% to +2269.8%: 1 occurrences (0.2%) 2181.2% +2269.8% to +2446.9%: 2 occurrences (0.4%) +2446.9% to +2624.0%: 0 occurrences (0.0%) +2624.0% to +2801.1%: 1 occurrences (0.2%) 2712.6%
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) 70.3% 33.1% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 0.2% Adjusts normal bell curve for real-world skewness (14.18) and kurtosis (257.64).
Standard Normal (Black-Scholes / GBM) 90.9% 45.5% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 76.5% 46.4% Filters for historical windows that started with volatility similar to current 20-day HV (153 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 181.6%
  • Recent 20-Day HV: 45.5%
  • Parkinson Intraday Volatility: 72.6%
  • Vol Trend: Compressed (-75% vs baseline)

14-Day Return Quantiles

  • Median Return: -3.0%
  • Top 10% Move (90th percentile): +39.2%
  • Bottom 10% Move (10th percentile): -17.9%
  • Max Historical Gain (14d): +2801.1%
  • Max Historical Loss (14d): -32.8%