Finance

VRCA Move Probability $3.62 +0.30 (+9.0%)

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)
70.5%
Stock touched +5.0% ($3.80) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
28.3%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.49x
You are 2.5x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±25.1%
$2.71 — $4.53

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%.

-55.5% to -41.9%: 10 occurrences (2.0%) -48.7% -41.9% to -28.3%: 24 occurrences (4.7%) -28.3% to -14.7%: 96 occurrences (18.9%) -14.7% to -1.1%: 166 occurrences (32.7%) -7.9% -1.1% to +12.5%: 126 occurrences (24.8%) +12.5% to +26.1%: 34 occurrences (6.7%) +26.1% to +39.7%: 24 occurrences (4.7%) 32.9% +39.7% to +53.3%: 12 occurrences (2.4%) +53.3% to +66.9%: 2 occurrences (0.4%) +66.9% to +80.5%: 2 occurrences (0.4%) 73.7% +80.5% to +94.1%: 4 occurrences (0.8%) +94.1% to +107.7%: 2 occurrences (0.4%) +107.7% to +121.3%: 4 occurrences (0.8%) 114.5% +121.3% to +134.9%: 1 occurrences (0.2%) +134.9% to +148.5%: 0 occurrences (0.0%) +148.5% to +162.1%: 1 occurrences (0.2%) 155.3%
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) 70.5% 28.3% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 35.6% Adjusts normal bell curve for real-world skewness (-0.8) and kurtosis (13.34).
Standard Normal (Black-Scholes / GBM) 84.6% 42.3% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 67.4% 24.6% Filters for historical windows that started with volatility similar to current 20-day HV (362 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 106.4%
  • Recent 20-Day HV: 78.2%
  • Parkinson Intraday Volatility: 72.5%
  • Vol Trend: Compressed (-26% vs baseline)

14-Day Return Quantiles

  • Median Return: -4.5%
  • Top 10% Move (90th percentile): +26.3%
  • Bottom 10% Move (10th percentile): -23.9%
  • Max Historical Gain (14d): +162.1%
  • Max Historical Loss (14d): -55.5%