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)
15.4%
Stock touched +5.0% ($164.00) at least once during 1 trading days.
Median first touch: Day 1 of 1
Expiration Close Probability
7.7%
Stock closed at or beyond +5.0% at the end of the 1-day window.
The Touch Multiple
2.00x
You are 2.0x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±3.8%
$150.23 — $162.16

Historical 1-Day Return Distribution

Frequency of rolling 1-day percentage returns over 521 historical windows (2024-09-23 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-28.3% to -25.5%: 1 occurrences (0.2%) -26.9% -25.5% to -22.8%: 0 occurrences (0.0%) -22.8% to -20.1%: 0 occurrences (0.0%) -20.1% to -17.4%: 0 occurrences (0.0%) -18.7% -17.4% to -14.6%: 1 occurrences (0.2%) -14.6% to -11.9%: 2 occurrences (0.4%) -11.9% to -9.2%: 1 occurrences (0.2%) -10.5% -9.2% to -6.5%: 12 occurrences (2.3%) -6.5% to -3.7%: 44 occurrences (8.4%) -3.7% to -1.0%: 111 occurrences (21.3%) -2.4% -1.0% to +1.7%: 185 occurrences (35.5%) +1.7% to +4.5%: 114 occurrences (21.9%) +4.5% to +7.2%: 37 occurrences (7.1%) 5.8% +7.2% to +9.9%: 9 occurrences (1.7%) +9.9% to +12.6%: 2 occurrences (0.4%) +12.6% to +15.4%: 2 occurrences (0.4%) 14.0%
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) 15.4% 7.7% Model-free reality across 521 historical 1-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 1.5% Adjusts normal bell curve for real-world skewness (-1.43) and kurtosis (11.77).
Standard Normal (Black-Scholes / GBM) 20.1% 10.1% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 14.0% 6.7% Filters for historical windows that started with volatility similar to current 20-day HV (372 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

1-Day Return Quantiles

  • Median Return: +0.1%
  • Top 10% Move (90th percentile): +4.3%
  • Bottom 10% Move (10th percentile): -3.9%
  • Max Historical Gain (1d): +15.4%
  • Max Historical Loss (1d): -28.3%