Finance

VNJA Move Probability $7.00 +1.50 (+27.3%)

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

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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
31.5%
Stock touched +5.0% ($7.35) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
17.3%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.82x
You are 1.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±24.3%
$5.30 — $8.70

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 486 historical windows (2024-10-22 to 2026-10-20). The colored bar indicates the win zone for +5.0%.

-49.1% to -33.3%: 20 occurrences (4.1%) -41.2% -33.3% to -17.5%: 42 occurrences (8.6%) -17.5% to -1.7%: 85 occurrences (17.5%) -1.7% to +14.1%: 269 occurrences (55.3%) 6.2% +14.1% to +29.9%: 22 occurrences (4.5%) +29.9% to +45.7%: 15 occurrences (3.1%) +45.7% to +61.5%: 5 occurrences (1.0%) 53.6% +61.5% to +77.3%: 6 occurrences (1.2%) +77.3% to +93.1%: 1 occurrences (0.2%) +93.1% to +108.9%: 0 occurrences (0.0%) 101.0% +108.9% to +124.7%: 5 occurrences (1.0%) +124.7% to +140.5%: 1 occurrences (0.2%) +140.5% to +156.3%: 3 occurrences (0.6%) 148.4% +156.3% to +172.0%: 6 occurrences (1.2%) +172.0% to +187.8%: 4 occurrences (0.8%) +187.8% to +203.6%: 2 occurrences (0.4%) 195.7%
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) 31.5% 17.3% Model-free reality across 486 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 11.8% Adjusts normal bell curve for real-world skewness (2.9) and kurtosis (30.33).
Standard Normal (Black-Scholes / GBM) 84.1% 42.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 3.0% 3.0% Filters for historical windows that started with volatility similar to current 20-day HV (133 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 103.0%
  • Recent 20-Day HV: 0.0%
  • Parkinson Intraday Volatility: 89.1%
  • Vol Trend: Compressed (-100% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.0%
  • Top 10% Move (90th percentile): +28.6%
  • Bottom 10% Move (10th percentile): -26.5%
  • Max Historical Gain (14d): +203.6%
  • Max Historical Loss (14d): -49.1%