Finance

VPV Move Probability $10.58 +0.00 (+0.0%)

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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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
7.3%
Stock touched +5.0% ($11.11) at least once during 14 trading days.
Median first touch: Day 11 of 14
Expiration Close Probability
3.1%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.31x
You are 2.3x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±2.7%
$10.29 — $10.87

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%.

-9.2% to -8.2%: 6 occurrences (1.2%) -8.7% -8.2% to -7.2%: 2 occurrences (0.4%) -7.2% to -6.2%: 3 occurrences (0.6%) -6.2% to -5.2%: 3 occurrences (0.6%) -5.7% -5.2% to -4.2%: 13 occurrences (2.6%) -4.2% to -3.2%: 18 occurrences (3.5%) -3.2% to -2.2%: 38 occurrences (7.5%) -2.7% -2.2% to -1.2%: 42 occurrences (8.3%) -1.2% to -0.2%: 68 occurrences (13.4%) -0.2% to +0.8%: 85 occurrences (16.7%) 0.3% +0.8% to +1.8%: 79 occurrences (15.6%) +1.8% to +2.8%: 72 occurrences (14.2%) +2.8% to +3.8%: 43 occurrences (8.5%) 3.3% +3.8% to +4.8%: 17 occurrences (3.3%) +4.8% to +5.8%: 16 occurrences (3.1%) +5.8% to +6.8%: 3 occurrences (0.6%) 6.3%
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) 7.3% 3.1% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 1.9% Adjusts normal bell curve for real-world skewness (-0.92) and kurtosis (8.33).
Standard Normal (Black-Scholes / GBM) 7.5% 3.8% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 12.5% 4.2% Filters for historical windows that started with volatility similar to current 20-day HV (24 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 11.6%
  • Recent 20-Day HV: 27.5%
  • Parkinson Intraday Volatility: 5.1%
  • Vol Trend: Expanded (+137% vs baseline)

14-Day Return Quantiles

  • Median Return: +0.5%
  • Top 10% Move (90th percentile): +3.3%
  • Bottom 10% Move (10th percentile): -2.9%
  • Max Historical Gain (14d): +6.8%
  • Max Historical Loss (14d): -9.2%