Finance

VOR Move Probability $18.93 -0.09 (-0.5%)

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)
77.2%
Stock touched +5.0% ($19.87) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
41.1%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.88x
You are 1.9x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±36.6%
$12.01 — $25.84

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%.

-78.4% to +13.1%: 355 occurrences (69.9%) -32.6% +13.1% to +104.6%: 137 occurrences (27.0%) +104.6% to +196.1%: 2 occurrences (0.4%) +196.1% to +287.6%: 0 occurrences (0.0%) 241.8% +287.6% to +379.1%: 2 occurrences (0.4%) +379.1% to +470.6%: 1 occurrences (0.2%) +470.6% to +562.1%: 2 occurrences (0.4%) 516.3% +562.1% to +653.5%: 2 occurrences (0.4%) +653.5% to +745.0%: 1 occurrences (0.2%) +745.0% to +836.5%: 0 occurrences (0.0%) 790.8% +836.5% to +928.0%: 1 occurrences (0.2%) +928.0% to +1019.5%: 3 occurrences (0.6%) +1019.5% to +1111.0%: 0 occurrences (0.0%) 1065.2% +1111.0% to +1202.5%: 1 occurrences (0.2%) +1202.5% to +1294.0%: 0 occurrences (0.0%) +1294.0% to +1385.4%: 1 occurrences (0.2%) 1339.7%
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) 77.2% 41.1% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 37.7% Adjusts normal bell curve for real-world skewness (-3.08) and kurtosis (51.76).
Standard Normal (Black-Scholes / GBM) 89.4% 44.7% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 74.5% 26.5% Filters for historical windows that started with volatility similar to current 20-day HV (98 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 155.1%
  • Recent 20-Day HV: 53.2%
  • Parkinson Intraday Volatility: 108.0%
  • Vol Trend: Compressed (-66% vs baseline)

14-Day Return Quantiles

  • Median Return: -0.5%
  • Top 10% Move (90th percentile): +39.6%
  • Bottom 10% Move (10th percentile): -27.8%
  • Max Historical Gain (14d): +1385.4%
  • Max Historical Loss (14d): -78.4%