Finance

VLT Move Probability $8.81 -0.29 (-3.1%)

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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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
2.6%
Stock touched +5.0% ($9.25) at least once during 14 trading days.
Median first touch: Day 9 of 14
Expiration Close Probability
2.2%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.18x
You are 1.2x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±2.5%
$8.59 — $9.03

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 507 historical windows (2024-09-23 to 2026-10-20). The colored bar indicates the win zone for +5.0%.

-11.2% to -10.0%: 1 occurrences (0.2%) -10.6% -10.0% to -8.8%: 0 occurrences (0.0%) -8.8% to -7.6%: 6 occurrences (1.2%) -7.6% to -6.4%: 6 occurrences (1.2%) -7.0% -6.4% to -5.2%: 5 occurrences (1.0%) -5.2% to -4.0%: 19 occurrences (3.7%) -4.0% to -2.8%: 30 occurrences (5.9%) -3.4% -2.8% to -1.6%: 35 occurrences (6.9%) -1.6% to -0.4%: 94 occurrences (18.5%) -0.4% to +0.8%: 106 occurrences (20.9%) 0.2% +0.8% to +2.0%: 121 occurrences (23.9%) +2.0% to +3.2%: 55 occurrences (10.8%) +3.2% to +4.4%: 12 occurrences (2.4%) 3.8% +4.4% to +5.6%: 7 occurrences (1.4%) +5.6% to +6.8%: 5 occurrences (1.0%) +6.8% to +8.0%: 5 occurrences (1.0%) 7.4%
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) 2.6% 2.2% Model-free reality across 507 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 0.6% Adjusts normal bell curve for real-world skewness (-2.95) and kurtosis (31.36).
Standard Normal (Black-Scholes / GBM) 5.1% 2.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 0.0% 0.0% Filters for historical windows that started with volatility similar to current 20-day HV (251 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 10.6%
  • Recent 20-Day HV: 10.1%
  • Parkinson Intraday Volatility: 3.1%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: +0.3%
  • Top 10% Move (90th percentile): +2.6%
  • Bottom 10% Move (10th percentile): -3.5%
  • Max Historical Gain (14d): +8.0%
  • Max Historical Loss (14d): -11.2%