Finance

VOO Move Probability $701.06 -9.64 (-1.4%)

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)
0.2%
Stock touched +5.0% ($736.11) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
0.2%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
1.00x
You are 1.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±1.0%
$694.11 — $708.01

Historical 1-Day Return Distribution

Frequency of rolling 1-day percentage returns over 522 historical windows (2024-09-23 to 2026-10-22). The colored bar indicates the win zone for +5.0%.

-5.9% to -5.0%: 1 occurrences (0.2%) -5.4% -5.0% to -4.0%: 1 occurrences (0.2%) -4.0% to -3.0%: 1 occurrences (0.2%) -3.0% to -2.1%: 6 occurrences (1.1%) -2.6% -2.1% to -1.1%: 32 occurrences (6.1%) -1.1% to -0.2%: 135 occurrences (25.9%) -0.2% to +0.8%: 258 occurrences (49.4%) 0.3% +0.8% to +1.7%: 71 occurrences (13.6%) +1.7% to +2.7%: 14 occurrences (2.7%) +2.7% to +3.6%: 2 occurrences (0.4%) 3.1% +3.6% to +4.6%: 0 occurrences (0.0%) +4.6% to +5.5%: 0 occurrences (0.0%) +5.5% to +6.5%: 0 occurrences (0.0%) 6.0% +6.5% to +7.4%: 0 occurrences (0.0%) +7.4% to +8.4%: 0 occurrences (0.0%) +8.4% to +9.3%: 1 occurrences (0.2%) 8.8%
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) 0.2% 0.2% Model-free reality across 522 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 100.0% Adjusts normal bell curve for real-world skewness (0.49) and kurtosis (15.56).
Standard Normal (Black-Scholes / GBM) 0.0% 0.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 0.0% 0.0% Filters for historical windows that started with volatility similar to current 20-day HV (265 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)

1-Day Return Quantiles

  • Median Return: +0.1%
  • Top 10% Move (90th percentile): +1.0%
  • Bottom 10% Move (10th percentile): -1.0%
  • Max Historical Gain (1d): +9.3%
  • Max Historical Loss (1d): -5.9%