Finance

VSTM Move Probability $8.41 -0.97 (-10.3%)

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)
81.9%
Stock touched +5.0% ($8.84) at least once during 14 trading days.
Median first touch: Day 2 of 14
Expiration Close Probability
47.5%
Stock closed at or beyond +5.0% at the end of the 14-day window.
The Touch Multiple
1.72x
You are 1.7x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±20.7%
$6.67 — $10.16

Historical 14-Day Return Distribution

Frequency of rolling 14-day percentage returns over 507 historical windows (2024-10-10 to 2026-11-06). The colored bar indicates the win zone for +5.0%.

-35.3% to -28.8%: 16 occurrences (3.2%) -32.1% -28.8% to -22.3%: 33 occurrences (6.5%) -22.3% to -15.9%: 37 occurrences (7.3%) -15.9% to -9.4%: 39 occurrences (7.7%) -12.6% -9.4% to -2.9%: 65 occurrences (12.8%) -2.9% to +3.6%: 65 occurrences (12.8%) +3.6% to +10.0%: 72 occurrences (14.2%) 6.8% +10.0% to +16.5%: 34 occurrences (6.7%) +16.5% to +23.0%: 42 occurrences (8.3%) +23.0% to +29.5%: 37 occurrences (7.3%) 26.2% +29.5% to +36.0%: 33 occurrences (6.5%) +36.0% to +42.4%: 10 occurrences (2.0%) +42.4% to +48.9%: 8 occurrences (1.6%) 45.7% +48.9% to +55.4%: 8 occurrences (1.6%) +55.4% to +61.9%: 5 occurrences (1.0%) +61.9% to +68.4%: 3 occurrences (0.6%) 65.1%
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) 81.9% 47.5% Model-free reality across 507 historical 14-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 32.9% Adjusts normal bell curve for real-world skewness (0.52) and kurtosis (4.65).
Standard Normal (Black-Scholes / GBM) 81.4% 40.7% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 78.3% 44.0% Filters for historical windows that started with volatility similar to current 20-day HV (336 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 87.8%
  • Recent 20-Day HV: 102.1%
  • Parkinson Intraday Volatility: 77.0%
  • Vol Trend: Expanded (+16% vs baseline)

14-Day Return Quantiles

  • Median Return: +3.5%
  • Top 10% Move (90th percentile): +32.3%
  • Bottom 10% Move (10th percentile): -22.1%
  • Max Historical Gain (14d): +68.4%
  • Max Historical Loss (14d): -35.3%