Finance

VMO Move Probability $8.77 -0.03 (-0.3%)

Real historical back-data analysis: evaluates rolling trading-day windows to determine the probability of a stock touching or closing at your target move.

← Back to VMO Options chain →
Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
2.0%
Stock touched +5.0% ($9.21) at least once during 14 trading days.
Median first touch: Day 10 of 14
Expiration Close Probability
1.0%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.00x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±2.5%
$8.55 — $8.99

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%.

-11.1% to -10.0%: 3 occurrences (0.6%) -10.5% -10.0% to -8.9%: 4 occurrences (0.8%) -8.9% to -7.8%: 3 occurrences (0.6%) -7.8% to -6.7%: 1 occurrences (0.2%) -7.2% -6.7% to -5.5%: 5 occurrences (1.0%) -5.5% to -4.4%: 12 occurrences (2.4%) -4.4% to -3.3%: 14 occurrences (2.8%) -3.9% -3.3% to -2.2%: 37 occurrences (7.3%) -2.2% to -1.1%: 62 occurrences (12.2%) -1.1% to -0.0%: 70 occurrences (13.8%) -0.6% -0.0% to +1.1%: 125 occurrences (24.6%) +1.1% to +2.2%: 84 occurrences (16.5%) +2.2% to +3.3%: 61 occurrences (12.0%) 2.8% +3.3% to +4.4%: 17 occurrences (3.3%) +4.4% to +5.5%: 7 occurrences (1.4%) +5.5% to +6.7%: 3 occurrences (0.6%) 6.1%
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) 2.0% 1.0% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 3.0% Adjusts normal bell curve for real-world skewness (-0.4) and kurtosis (4.22).
Standard Normal (Black-Scholes / GBM) 4.7% 2.3% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 22.2% 11.1% Filters for historical windows that started with volatility similar to current 20-day HV (27 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 10.4%
  • Recent 20-Day HV: 23.2%
  • Parkinson Intraday Volatility: 7.5%
  • Vol Trend: Expanded (+123% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.4%
  • Top 10% Move (90th percentile): +2.9%
  • Bottom 10% Move (10th percentile): -3.0%
  • Max Historical Gain (14d): +6.7%
  • Max Historical Loss (14d): -11.1%