Finance

VST Move Probability $156.19 +5.90 (+3.9%)

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

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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
71.7%
Stock touched +5.0% ($164.00) at least once during 14 trading days.
Median first touch: Day 3 of 14
Expiration Close Probability
36.0%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.99x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±14.3%
$133.89 — $178.50

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%.

-35.9% to -31.2%: 3 occurrences (0.6%) -33.6% -31.2% to -26.4%: 1 occurrences (0.2%) -26.4% to -21.7%: 6 occurrences (1.2%) -21.7% to -17.0%: 7 occurrences (1.4%) -19.3% -17.0% to -12.2%: 27 occurrences (5.3%) -12.2% to -7.5%: 60 occurrences (11.8%) -7.5% to -2.7%: 99 occurrences (19.5%) -5.1% -2.7% to +2.0%: 82 occurrences (16.1%) +2.0% to +6.7%: 64 occurrences (12.6%) +6.7% to +11.5%: 72 occurrences (14.2%) 9.1% +11.5% to +16.2%: 43 occurrences (8.5%) +16.2% to +21.0%: 13 occurrences (2.6%) +21.0% to +25.7%: 16 occurrences (3.1%) 23.3% +25.7% to +30.5%: 10 occurrences (2.0%) +30.5% to +35.2%: 2 occurrences (0.4%) +35.2% to +39.9%: 3 occurrences (0.6%) 37.6%
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) 71.7% 36.0% Model-free reality across 508 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 30.1% Adjusts normal bell curve for real-world skewness (-1.43) and kurtosis (11.77).
Standard Normal (Black-Scholes / GBM) 73.3% 36.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 70.9% 33.0% Filters for historical windows that started with volatility similar to current 20-day HV (361 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 60.6%
  • Recent 20-Day HV: 59.2%
  • Parkinson Intraday Volatility: 48.3%
  • Vol Trend: Normal / Consistent

14-Day Return Quantiles

  • Median Return: +0.1%
  • Top 10% Move (90th percentile): +14.7%
  • Bottom 10% Move (10th percentile): -10.7%
  • Max Historical Gain (14d): +39.9%
  • Max Historical Loss (14d): -35.9%