Finance

VOC Move Probability $3.52 +0.13 (+3.8%)

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)
50.0%
Stock touched +5.0% ($3.70) at least once during 14 trading days.
Median first touch: Day 5 of 14
Expiration Close Probability
25.2%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.98x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±10.2%
$3.16 — $3.88

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%.

-26.7% to -23.5%: 2 occurrences (0.4%) -25.1% -23.5% to -20.4%: 5 occurrences (1.0%) -20.4% to -17.2%: 12 occurrences (2.4%) -17.2% to -14.0%: 8 occurrences (1.6%) -15.6% -14.0% to -10.9%: 24 occurrences (4.7%) -10.9% to -7.7%: 31 occurrences (6.1%) -7.7% to -4.5%: 51 occurrences (10.0%) -6.1% -4.5% to -1.4%: 58 occurrences (11.4%) -1.4% to +1.8%: 108 occurrences (21.3%) +1.8% to +5.0%: 80 occurrences (15.7%) 3.4% +5.0% to +8.1%: 50 occurrences (9.8%) +8.1% to +11.3%: 37 occurrences (7.3%) +11.3% to +14.5%: 17 occurrences (3.3%) 12.9% +14.5% to +17.6%: 14 occurrences (2.8%) +17.6% to +20.8%: 9 occurrences (1.8%) +20.8% to +24.0%: 2 occurrences (0.4%) 22.4%
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) 50.0% 25.2% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 22.6% Adjusts normal bell curve for real-world skewness (-0.34) and kurtosis (5.83).
Standard Normal (Black-Scholes / GBM) 63.1% 31.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 61.5% 30.8% Filters for historical windows that started with volatility similar to current 20-day HV (26 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 43.1%
  • Recent 20-Day HV: 17.5%
  • Parkinson Intraday Volatility: 19.8%
  • Vol Trend: Compressed (-59% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.5%
  • Top 10% Move (90th percentile): +9.8%
  • Bottom 10% Move (10th percentile): -10.8%
  • Max Historical Gain (14d): +24.0%
  • Max Historical Loss (14d): -26.7%