Finance

VOO Move Probability $703.50 -7.20 (-1.0%)

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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Touch Probability (First Passage)
11.4%
Stock touched +5.0% ($738.68) at least once during 14 trading days.
Median first touch: Day 9 of 14
Expiration Close Probability
6.9%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.66x
You are 1.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±3.7%
$677.40 — $729.60

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%.

-12.1% to -10.6%: 1 occurrences (0.2%) -11.4% -10.6% to -9.1%: 3 occurrences (0.6%) -9.1% to -7.6%: 4 occurrences (0.8%) -7.6% to -6.1%: 6 occurrences (1.2%) -6.8% -6.1% to -4.5%: 12 occurrences (2.4%) -4.5% to -3.0%: 21 occurrences (4.1%) -3.0% to -1.5%: 36 occurrences (7.1%) -2.3% -1.5% to +0.0%: 88 occurrences (17.3%) +0.0% to +1.5%: 115 occurrences (22.6%) +1.5% to +3.0%: 121 occurrences (23.8%) 2.3% +3.0% to +4.5%: 57 occurrences (11.2%) +4.5% to +6.1%: 20 occurrences (3.9%) +6.1% to +7.6%: 10 occurrences (2.0%) 6.8% +7.6% to +9.1%: 8 occurrences (1.6%) +9.1% to +10.6%: 3 occurrences (0.6%) +10.6% to +12.1%: 4 occurrences (0.8%) 11.4%
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) 11.4% 6.9% Model-free reality across 509 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 1.0% Adjusts normal bell curve for real-world skewness (0.49) and kurtosis (15.56).
Standard Normal (Black-Scholes / GBM) 18.9% 9.4% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 5.2% 1.2% Filters for historical windows that started with volatility similar to current 20-day HV (252 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 15.7%
  • Recent 20-Day HV: 9.6%
  • Parkinson Intraday Volatility: 11.9%
  • Vol Trend: Compressed (-39% vs baseline)

14-Day Return Quantiles

  • Median Return: +1.1%
  • Top 10% Move (90th percentile): +4.3%
  • Bottom 10% Move (10th percentile): -2.7%
  • Max Historical Gain (14d): +12.1%
  • Max Historical Loss (14d): -12.1%