Finance

VRME Move Probability $9.06 +0.74 (+8.9%)

Real historical back-data analysis: evaluates rolling trading-day windows to determine the probability of a stock touching or closing at your target move.

← Back to VRME Options chain →
Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
56.4%
Stock touched +5.0% ($9.51) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
23.3%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
2.42x
You are 2.4x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±38.6%
$5.56 — $12.56

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 493 historical windows (2024-09-23 to 2026-09-30). The colored bar indicates the win zone for +5.0%.

-87.2% to -44.5%: 25 occurrences (5.1%) -65.9% -44.5% to -1.8%: 255 occurrences (51.7%) -1.8% to +40.8%: 176 occurrences (35.7%) +40.8% to +83.5%: 17 occurrences (3.4%) 62.2% +83.5% to +126.2%: 8 occurrences (1.6%) +126.2% to +168.9%: 2 occurrences (0.4%) +168.9% to +211.6%: 2 occurrences (0.4%) 190.3% +211.6% to +254.3%: 1 occurrences (0.2%) +254.3% to +297.0%: 0 occurrences (0.0%) +297.0% to +339.7%: 2 occurrences (0.4%) 318.3% +339.7% to +382.4%: 1 occurrences (0.2%) +382.4% to +425.0%: 1 occurrences (0.2%) +425.0% to +467.7%: 0 occurrences (0.0%) 446.4% +467.7% to +510.4%: 0 occurrences (0.0%) +510.4% to +553.1%: 0 occurrences (0.0%) +553.1% to +595.8%: 3 occurrences (0.6%) 574.4%
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) 56.4% 23.3% Model-free reality across 493 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 35.0% Adjusts normal bell curve for real-world skewness (-3.55) and kurtosis (67.63).
Standard Normal (Black-Scholes / GBM) 89.9% 45.0% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 86.8% 28.9% Filters for historical windows that started with volatility similar to current 20-day HV (38 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 163.9%
  • Recent 20-Day HV: 255.2%
  • Parkinson Intraday Volatility: 93.3%
  • Vol Trend: Expanded (+56% vs baseline)

14-Day Return Quantiles

  • Median Return: -4.7%
  • Top 10% Move (90th percentile): +22.5%
  • Bottom 10% Move (10th percentile): -32.3%
  • Max Historical Gain (14d): +595.8%
  • Max Historical Loss (14d): -87.2%