Finance

VLY Move Probability $13.63 +0.61 (+4.6%)

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)
51.9%
Stock touched +5.0% ($14.31) at least once during 14 trading days.
Median first touch: Day 6 of 14
Expiration Close Probability
31.0%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.67x
You are 1.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±7.2%
$12.64 — $14.62

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 509 historical windows (2024-09-23 to 2026-10-22). The colored bar indicates the win zone for +5.0%.

-14.5% to -12.4%: 8 occurrences (1.6%) -13.4% -12.4% to -10.3%: 16 occurrences (3.1%) -10.3% to -8.2%: 17 occurrences (3.3%) -8.2% to -6.1%: 32 occurrences (6.3%) -7.1% -6.1% to -4.0%: 31 occurrences (6.1%) -4.0% to -1.9%: 45 occurrences (8.8%) -1.9% to +0.2%: 64 occurrences (12.6%) -0.9% +0.2% to +2.3%: 58 occurrences (11.4%) +2.3% to +4.4%: 61 occurrences (12.0%) +4.4% to +6.5%: 61 occurrences (12.0%) 5.4% +6.5% to +8.6%: 48 occurrences (9.4%) +8.6% to +10.7%: 27 occurrences (5.3%) +10.7% to +12.7%: 21 occurrences (4.1%) 11.7% +12.7% to +14.8%: 17 occurrences (3.3%) +14.8% to +16.9%: 2 occurrences (0.4%) +16.9% to +19.0%: 1 occurrences (0.2%) 18.0%
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) 51.9% 31.0% Model-free reality across 509 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 17.1% Adjusts normal bell curve for real-world skewness (-0.23) and kurtosis (4.2).
Standard Normal (Black-Scholes / GBM) 50.0% 25.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 45.9% 27.2% Filters for historical windows that started with volatility similar to current 20-day HV (390 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 30.7%
  • Recent 20-Day HV: 26.8%
  • Parkinson Intraday Volatility: 27.3%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: +1.8%
  • Top 10% Move (90th percentile): +9.7%
  • Bottom 10% Move (10th percentile): -7.5%
  • Max Historical Gain (14d): +19.0%
  • Max Historical Loss (14d): -14.5%