Finance

VRSK Move Probability $192.30 +1.54 (+0.8%)

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)
31.7%
Stock touched +5.0% ($201.92) at least once during 14 trading days.
Median first touch: Day 6 of 14
Expiration Close Probability
17.7%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.79x
You are 1.8x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±7.0%
$178.78 — $205.82

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%.

-21.8% to -18.8%: 2 occurrences (0.4%) -20.3% -18.8% to -15.7%: 13 occurrences (2.6%) -15.7% to -12.7%: 8 occurrences (1.6%) -12.7% to -9.7%: 26 occurrences (5.1%) -11.2% -9.7% to -6.6%: 42 occurrences (8.3%) -6.6% to -3.6%: 63 occurrences (12.4%) -3.6% to -0.5%: 99 occurrences (19.5%) -2.1% -0.5% to +2.5%: 105 occurrences (20.7%) +2.5% to +5.5%: 73 occurrences (14.4%) +5.5% to +8.6%: 45 occurrences (8.9%) 7.0% +8.6% to +11.6%: 13 occurrences (2.6%) +11.6% to +14.6%: 11 occurrences (2.2%) +14.6% to +17.7%: 2 occurrences (0.4%) 16.2% +17.7% to +20.7%: 4 occurrences (0.8%) +20.7% to +23.7%: 0 occurrences (0.0%) +23.7% to +26.8%: 2 occurrences (0.4%) 25.3%
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) 31.7% 17.7% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 17.1% Adjusts normal bell curve for real-world skewness (-0.82) and kurtosis (5.2).
Standard Normal (Black-Scholes / GBM) 48.8% 24.4% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 33.9% 18.1% Filters for historical windows that started with volatility similar to current 20-day HV (254 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 29.8%
  • Recent 20-Day HV: 27.1%
  • Parkinson Intraday Volatility: 23.7%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: -0.5%
  • Top 10% Move (90th percentile): +6.9%
  • Bottom 10% Move (10th percentile): -9.6%
  • Max Historical Gain (14d): +26.8%
  • Max Historical Loss (14d): -21.8%